Reviving this thread since the response link is not working.
Creating threads on male and female bodies that you can work and print is very easy on fusion. You just make sure that your male / female parts are correctly sized then just add threads on the curved feature (and you get to choose the length and pitch).
Making threads on shapr 3D is a bit more challenging like the OP has stated. Is there an easier process? Not available on google or YouTube searches.