If you have a dedicated thread for handling the socket then asynchronous I/O select etc are useless. What you want is simply recvfrom(2) and handle the data as quickly as possible.
With only a few peers, (and 'one' is surely in this set:), a thread with a blocking socket should be fine. The code is easier to write since state can be maintained in the dedicated thread - no need for the state-machines that are usually required with a non-blocking system.
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