If LW has been running for quite a while on OS X (or the OS is using lots of Virtual Memory), those warning boxes can take up to 5 or more minutes to cancel. THe worst I recall was 20 minutes.
Just be patient, wait for the beachball to eventually stop spinning, close or cancel those dialogs, and scream and rant at Apple for their java development
Also, shutting down OS X for more than 2 minutes after a really intensive session helps (the memory and VM is cleared, and you get back a gig or so of HD space).
[Sam--I can't believe this thread is from 2 years ago and Apple hasn't made more java progress in that time. Thanks for keeping them aware of the problems]