What is the best way to thread an object (like a screw)? I also would like to add the object it gets screwed into (male/female).

You can go to McMaster Carr and find a similar object with the threads you want. Then choose CAD from their object menu, and download the Step file. It will
Import directly into Shapr3D, and you can merge, edit, or add whatever you need.
Here’s an example of a PVC pipe fitting merged into a funnel.