OK, I'll reply to myself with the solution I have working now. The only
"imperfect" thing for what I'd like now is that I need to pull out the
variables from the function delegate that'll be called from the worker
function, because I want to generalize the worker function.

Here's my code if anyone's interested...

First, the generic ProgressForm:

(lblWork is a label telling what it's currently doing, like which file it's
working on in a series... I have placed a "worker" object of type
BackgroundWorker in design mode, set to WorkerReportsProgress = true and
WorkerSupportsCancellation = true)

----------------

using System.Windows.Forms;

namespace MyNamespace // set this to whatever you use
{
   public partial class ProgressForm : Form
   {
       // The callback function for the BackgroundWorker's DoWork()
       public delegate ProgressInfo HeavyWorkFunction();

       private readonly int max;
       private readonly HeavyWorkFunction workFn;

       public ProgressForm(string title, int max, HeavyWorkFunction workFn)
       {
           InitializeComponent();

           this.Text = title;
           this.max = max;
           this.workFn = workFn;

           worker.RunWorkerAsync();
       }

       private void worker_DoWork(object sender,
System.ComponentModel.DoWorkEventArgs e)
       {
           ProgressInfo pi;
           while ((pi = workFn()).progress < max)
               worker.ReportProgress(100 * pi.progress / max, pi.label);
       }

       private void worker_ProgressChanged(object sender,
System.ComponentModel.ProgressChangedEventArgs e)
       {
           progress.Value = e.ProgressPercentage;
           lblWork.Text = (string)e.UserState;
       }

       private void worker_RunWorkerCompleted(object sender,
System.ComponentModel.RunWorkerCompletedEventArgs e)
       {
           Close();
       }
   }

   public class ProgressInfo
   {
       public string label;
       public int progress;
   }
}

----------------

Then, a sample usage... For example, synchronizing a bunch of files with a
mobile device.

----------------

public void Synchronize()
{
           // At this point, the variable totalSize contains the total
number of bytes to transfer
           pi = new ProgressInfo();
           ProgressForm form = new ProgressForm("Synchronizing...",
               totalSize, SyncWorker);
           form.ShowDialog();
}

/* Field variables... This is the annoying part -- need more fields the more
complex and dependant the SyncWorker() function is on the rest of the class,
in order to keep ProgressForm a 100% "generic" class. */

private int currentSize, totalSize;
private int nextPos;
private List<FileInfo> files;
private ProgressInfo pi;

public ProgressInfo SyncWorker()
{
   FileInfo fileInfo = files[nextPos];

   // This takes some time...
   device.CopyFileToDevice(fileInfo.FullName,
  destDir + @"\" + fileInfo.Name);

   currentSize += (int)fileInfo.Length;

   pi.label = string.Format("Copying {0} (transferred {1} bytes) ...",
fileInfo.Name, currentSize);
   pi.progress += currentSize;

   nextPos++;

   return pi;
}