Mr Wild writes:
Back off the Z axis and run the lathe in reverse while leaving the threading lever engaged. but I am pretty sure he means
back off the X axis.
To learn lathe threading get some material that is easy to work with such as brass; this is also soft so when you do something wrong you are less likely to destroy your tool.
As suggested get a thread gauge for grinding your tool, here is a Wikipedia page with a picture;
http://en.wikipedia.org/wiki/Center_gauge
The Wikipedia page also calls it a center gauge and in can be used to set your tool on center. Set your tool as close as you can to being on center by eye; now very carefully pinch the gauge (or any thin straight metal) between the tool and the work and look at it from the end of the work. If the tool is above center the top of the gauge will lean in toward the lathe centerline and out if it is below; you want slightly out by up to 5 degrees.
Set the compound to 29 degrees not 30; using 29 means the threading tool cuts primarily on the leading flank but takes a minuscule skim on the other flank to avoid leaving striations from the infeed.
With the tool just touching the work, pinch a bit of paper to check this, set the cross slide dial at zero and the compound dial at zero. Now back off the cross slide slightly.
Now for the tricky parts; draw a line on the work where you want the thread to end.
Move the carriage back so the tool is past the end of the work, set the machine to go really slow and engage the half nuts.
Notice I have not said anything about advancing the tool; you are doing some dry runs.
When the tool is in line with the mark on the work quickly rotate the cross slide out while turning the machine off; it will coast a little bit but not much.
Reverse the machine until the carriage is past the start point then forward to the start point to take out all the backlash; you can do this by hand just rotating the chuck. Bring the cross slide back to its original setting and practice dry runs a few times.
For the actual thread cutting the only difference is you advance the compound slide maybe .01mm and bring the cross slide to the zero mark that places the tool right at the work. For each cut the cross slide is what retracts the tool and the at the start of the next cut the compound is used to go slightly deeper.