Well I was half right ! Here goes. I started with a cylinder, I chose a end and inserted a circle on the face that was the same dia as the circle,It can be bigger. I then closed the sketch and hightlighted the circle. I chose insert/curves/helix and filled in the blanks. Watch the satrting angle, I used 90. That should get you the helix. Next I chose a plane that was perpendicular to the starting point of the helix and inserted my profile at the end of the helix, mine was a small circle, and closed the sketch. Pick the helix and the profile, pick insert/cut/sweep and it was, threads!!You can cut threads this way or use insert/surface/sweep to add threads.
Hope this helps