Hi,
@McD solution is the best to go fast, I use it also a lot.
@Horsthorst : what you asked for is not immediate (at least for me, I spent a couple of hours on it this Sunday 
) . Here is a way to get a decent result.
You must create the body 1 of the screw (shape 1) and the cropping body 2 of the thread (shape 2) using spline tool, in order to get smooth bodies with no edge in the thread region.
Then, create a thread blank by revolving the rectangle 3 (thread pitch is 2.2mm for a 5mm screw) and intersect it with the body 2. You will get the overall shape of the thread but it is not sharp yet.
For wood screws, the angle between the two sides of a fillet is 40° (which mean 2x20°). You can approximate it with the 2 dimensions chamfer tool, using 0.1mm in one direction and 0.25mm in the other.
The rectangle 3 must be thin, must be at a distance of the vertical axis at least equal to it thickness or you won’t be able to chamfer and fillet later on but close enough to the vertical axis so it will overlap the body 1 of the screw down to the tip.
The rest is self explanatory in the video. The number of fillet depends on how nice you want the final result to be.
Wood Screw.shapr (251.2 KB)