The little thread roller that Robbie posted the link to looks very
cute.  If I had any use for rolled threads I would buy one and see if
it is useful.

threading machine --
  http://www.niagaracycle.com/product_info.php?products_id=411466
threading machine --
  http://www.niagaracycle.com/popup_image.php?pID=411466
replacement head --
  http://www.niagaracycle.com/popup_image.php?pID=430369

It might be possible to find a real bike shop (the kind with
people and support, not an on-line 'buy it now' type company) and see
if this little tool will take a variety of thread dies and if it will
accommodate different wire diameters.  I know that the one my friend
had in his bike shop, twenty plus years ago, did have a few different
thread sizes and could do a range of wire sizes, but it costs over
$2000 now.

Rolling increases the diameter over the wire diameter which is
necessary when the unthreaded portion needs to pass through so some
times threading with a die is not an option.

It should be possible to roll threads on a lathe, in fact it should
not be too difficult to make a tool for doing this or maybe they are
common.  It could be similar to a knurling tool and would need a
backrest that was carefully adjusted.

I did some looking on the Internet to find the specs on the cheap
roller.  A few people are selling it but not much tech information is
available.

One blog did have some user provided information.  The Hozan thread
roller will only do the end of a wire due to its design.  It is
designed to roll threads on 1.8 to 2 mm wire.  One person reported
that it slips with 1.5 mm wire but this can probably be overcome
with ingenuity or you could just buy the roller die and make your own
clamping arrangement.  There are a couple of dies available but no one
seems to say what the differences are.

I could not find an actual manufacturer's web site and no one selling
the roller (from a real shop) answered the phone today.  All the
stainless steel high quality spokes that I have measured about 54 tpi
although they are probably something metric.  As long as the pitch is
not too fine, it should not make much difference when threading into
wood.

Best regards,
Spencer Chase