I've been doing a bit of posting about practical matters in the world of clock repair on my other site clockfix.com. In one of my recent blog posts there, I documented how to make a very small steel machine screw for a French clock I was working on. Here's the result:
A colleague who has far more experience in this field made two good suggestions. The first was to anneal the metal before turning it down and threading it. This will make the dies last a lot longer. The second, was to part the piece using a jeweler's saw rather than a file. The blades are cheap, and the file will last a lot longer too. He then hardens, tempers, and finishes the screw as the final steps. Good advice; all of that makes perfect sense.
Here's where you can see my post on how to make a tiny machine screw for an antique French clock.