The only issue with threading the welding rod, is tht you can leave the rod workharden and brittle at the end of the threads. A sharp die, and lots of threading oil and 3/4 on 1/4 off when threading (breaking the chips) will reduce this problem. The other diown side is weight. My suggestion is to solder a threaded adaptor end on the unthreaded end of the wire. Works every time.

Don