0.055" diameter with 40 threads per inch (TPI) is not something you
are likely to find ready-made.  40 TPI is a very coarse thread for
this size wire.  If the threaded portion is larger in diameter than
the unthreaded part, then it is definitely a rolled thread.  Rolling
was and still is a common way to form threads.

One possibility that you might check out is your local (very well
equipped) bicycle shop.  Custom spokes for bike wheels are made on
a machine that cuts them to length and then rolls threads on them.
These spokes are made of stainless steel wire so the machine should
not have a problem with brass or iron wire.

Bicycle spokes are not this small in diameter -- small ones are more
like 0.078" or more diameter -- but maybe the machines will roll
threads on smaller wire too.  I did not measure the pitch but the
spokes I looked at are about 40 TPI.

Best regards,
Spencer Chase

 [ An inexpensive spoke thread rolling machine by Hozan is sold at
 [ http://www.niagaracycle.com/product_info.php?products_id=33975 
 [ -- Robbie