I want to capture all signals

No you don't. Or at least you shouldn't.

Signals are:

• technical stuff (if you intercept those, things may break):
  • HUP, TRAP, PIPE, ALRM, CHLD, WINCH, RT*
• crashes (you are probably interested in these):
  • SEGV, BUS, FPE, ILL
  • possibly ABRT
• user/system interactions (may be bad manners to intercept):
  • INT, QUIT, TERM, TSTP, PWR

show a message to user and the app just doesn't quit

It's somewhat possible. But if you have a multithreaded program that has just corrupted its memory, the best place to display that message may be from a different process. Some kind of external monitoring process as @Eljay suggests in comments.

I intend to kill the worker thread (therefore avoiding the loop) and signal the main thread to show a message to user and unwind gracefully

If you have a multithreaded program where a worker thread held some locks and you kill it, you're not getting those locks back. Trying to do anything non-trivial in the same process (even in different threads) will likely end up in a deadlock/further crashes.

The most you can do in that handler is record what information you can in as simple way as possible (signal safety reminder) and then poke your monitoring process that its time has come.

If you are working with documents, should you try to save some data if you can? Assume things are corrupted/broken. So usually not.