I have done it by using a helical sweep with a protrusion. The protrusion feature is the thread profile. If you want I can send you an example and you can copy. It is a little bit of a pain, but best way I know.
If you want to create the solid geometry (as opposed to the lighter-weight cosmetic thread) a Helical Sweep Cut is often better than a Helical Sweep Protrusion. In the first place, it more directly mimics the actual material removal or deformation process of creating the thread. If you do it with a protrusion, you get abrupt perpendicular ends to the feature which do not feather out in any way. If you use a cut, you can put a chamfer on the end of the bolt first, start the cut in space beyond the end of the bolt, and you will have a realistic end condition. If there is thread relief at the other end, the result will be similar there. If not, you can finish off the buried end of the thread by sweeping or revolving the triangular end surface profile along an arc exiting the bolt body on a plane perpendicular to that end surface.