Yeah thread works, but you can use a 1" wide strip of Monokote or Ultracote and just wrap and iron around and around about 3 or 4 wraps of covering. Works about like heat shrink tubing. Easy, quick, and cheap.

The important thing is to select firm straight grained balsa (or dowel rod) and to toughen up the hole where the metal pushrod goes through the wood with some CA.