Unfortunatly I think you're going to run into a whole heap of problems trying to combine Swing components and a fullscreen window.. I breifly messed around with it, decided it wasn't worth the hastle and gave up
I think the only way to do it (even though it seems like a terribly big hack) is to do your own drawing, then manually call paint() on your swing components to get them to draw over the top. This seems to work for the majority of the components (although JOptionPane is deeply uncooperative, so try and avoid that one- I had to stop the rendering loop and wait for it to be ok'ed before continuing, for obvious reasons).
