I'm operating on the theory that the only dumb question is the one that you don't ask.
I was watching Mike Miller's video on handforging a flintlock awhile back, and noticed that he doesn't seem to have any problems just filing a forged piece round and then threading it using modern dies. Looking up the tolerance specs for modern screw threads suggests that the stock would have to be within .010" of round, which seems kind of difficult to achieve by eye the way he seems to. Now, I'm pretty confident that Mike is a very good hand with a file, and, moreover, he is using wrought iron which can be swaged as well as cut into threads. However, I can think of a score of projects, ranging from replacement thumbscrews for old tools to ramrod accessories to a spontoon head, that would be greatly facilitated by being able to turn and thread parts of forgings. Since I don't have a lathe I would have to do this by hand, but while my filing skills are getting better these days I'm a little skeptical about getting within .01 on a round surface, so I'm curious to know how close to perfectly round I'd have to get on mild steel.
At the moment I don't have a die wrench, so I can't just go and experiment a little.
(Welding piece of round stock onto the piece is of course another option, but has its own difficulties and might not be feasible with some some of the projects.)