The Sprite_tm was right, once I exit the callback function quickly it all works great, no more wdt reset. I still don't know the correct way how to create threads so I start a timer that triggers after 1ms (immediately) where I process the received data and communicate to GPRS modem. This way ESP espconn_regist_recvcb() callback function can exit quickly and continue its work.
The Sprite_tm was right, once I exit the callback function quickly it all works great, no more wdt reset. I still don't know the correct way how to create threads so I start a timer that triggers after 1ms (immediately) where I process the received data and communicate to GPRS modem. This way ESP espconn_regist_recvcb() callback function can exit quickly and continue its work.