Beall Tool, http://www.bealltool.com/threading.htm , makes threaders
and taps.  Their products are available through most of the major
woodworking supply places like Lee Valley, Garrett Wade, Rockler,
Woodcraft, etc.

If you are thinking about end-to-end joining, that will be difficult in
smaller dowels.  (You could probably pull it off in something 3/4" or
larger.)  For smaller dowels I would think you'd want either to (in
order of strength) (1) use a longer dowel, (2) incorporate an exterior
sleeve into your design, or (3) use a threaded metal insert.  Going
into end grain will not provide much support and will generally make
a weak joint.

Cheers!
Roger Wiegand
Wayland, MA USA
Note new email address: roger@band-organ.com