Just to be clear.. if you try to thread the typical pre threaded rods it won't work.. As RC Ken said the rods are to small for full depth threads.
It can be done with the correct size rods..
for 2-56 you need larger than .086 3/32 is .093
for 4-40 you need larger then .112 1/8 is .125
The pre rolled thread rods you buy are around .070
don't try to cut threads on music wire.. It's to hard.. I ruined a 4-40 die and twisted up the rod trying.
Some good stuff on cutting your own here
http://www.rodchuck.com/weldnrod.htm