I agree with Chris and the others who have also chimed in. Modeling threads is normally something we don't do. This is a custom part and the threads were requested.
On a side note, we have some SolidWorks users at some of our other sites, and many of the parts I've seen from them, screws, tapped holes, etc, show threads. It was always my understanding that they were driven by a bitmap file, or something like that (Chris mentiones texture mapss below) but that they weren't actually modeled. I wonder if they impact memory/performance.
Stefan