Wind it in 'til it goes soft, then back it off 1/4 turn. I have a big lathe, ie: 10" swing, 48" bed, 1 9/16" hole through the headstock, and I've made a lot of screws with it. For small screws, I have a Jacob's zero chuck with a mandrel that I clamp in the headstock. I run the speed up high, use a sharp tool, and very carefully cut away. I've made screws as fine as 0 x 80 when there was a need for scale screws on my 1/4 scale Albatross DVa. For my gun screws, I like to case harden the screw, so a one piece screw is pretty much mandatory. I turn a lot of screws from nail stock.
For threading screws, I use my headstock to hold the head of the screw, first installing the threaded end in the tail stock chuck, and then sliding it up to the open headstock, then tightening the jaws onto the head. Then I release the tailstock chuck from the shank of the screw, and open up the tailstock chuck jaws enough to form a flat area to support the threading die which is secured in it's stock. The tailstock chuck is merely a solid flat area square with the world to support the die's face. I take the belt pressure off the headstock so the chuck runs freely by hand. I bring the die up to the end of the shank and lock the tailstock down. Then, turning the headstock by hand, and using the advance handle of the tailstock, I introduce the end of the shank into the die. When I have about two threads cut, I remove the tailstock and continue turning the headstock by hand until I have a threaded journal the length I require.
A photo series would have described this better, but perhaps this will make sense to someone.