Another development:
If I set the following conditions I am able to run the entire application with 62% CPU usage (where without the above thread the main application uses 52%):
SetPriorityClass(HIGH_PRIORITY_CLASS);
SetThreadPriority(THREAD_PRIORITY_HIGH);
And I set the Sleep() argument to be 0.01 - meaning I call it like this: Sleep(0.01).

If I don't set the priorities and only use the Sleep(0.01) it doesn't work. If I only set the priorities but use Sleep(1) it doesn't work.

I don't know how it is possible that the Sleep() function receives a float argument since it should get DWORD arguments, but it does.
I get a warning that I am sending a float instead of DWORD so I gather that a casting from float to DWORD occurs, however I tried to use Sleep(0) and it gave me 90% CPU usage.

This is still not the solution I am seeking. Since the high priorities may affect the performance of the rest of the application, and since the purpose of the application is to control a small vehicle, I wouldn't want my small thread to cause an accident.

P.S. I've changed the thread creation to CreateThread() instead of AfxBeginThread() so that I could get a HANDLE on the thread.