Click Here for an alternate method created by Michael Grote.
Creating Threads for a Screw or Bolt
I started off by making a cylinder, and beveling it out and welding the end vertices to get the basic screw shape.
Then I create a spring Under Dynamic Objects>Spring and move it to the end of the screw as seen below:
Next adjust the height to the length of the screw, and turn the turns up, I used 16. Set the smoothing to sides. Should produce something similar to the following.
Turn the Segs/Turn up to give it a smooth roundness, I used 40. Then under wire shape, use round wire, with 4 sides. Adjust the diameter to look like below.
After you get something your happy with convert either the cylinder or spring to a editable poly and attach the other object. I modeled a basic top using a .5 hemisphere scaled down. (Sphere with 0.5 chop). Added a real basic material and .hdr environment to get this render.
The upside to this style is that the screw is very dynamic, you can hange it just by dragging spinners until you find something your happy with. Have fun.