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Instead of SHOW commands, you can use sql insert to insert the output into a table. Do commit after each insert.
You will then see the outputs of your olap dml program as it executes, by querying that table.
For sql insert syntax, see this:
i think the relational analogy would be an anonymous pl/sql block executing a list of commands while outputting a list of useful dbms_output.put_line log statements:
Just as with SHOW and olap worksheet cmd line, you cant see the running dbms_output log while the pl/sql program is running... you need to wait for it to complete before you can see the log.
You can write to a file and close/exit the file each time or you can write to log table and commit each time but i guess, some such heavy lifting is needed if you want to track the long running process mid-way.
NOTE: For regular operations like dbms_cube.build load/forecast/allocate process/steps, you can always run queries against CUBE_BUILD_LOG etc mid-way. But if it's pure olap dml actions being performed then no neat pre-built handle to check things mid-way exists.