how to make ballscrew. Milling ... lathe .... grinder?

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Rolled ballscrews are made using a ballscrew rolling machine.

Ground ballscrews are made using a ballscrew grinding machine.

(wedge)

It may sound like I'm joking, but I'm really not.

You can try making your own, but you'd be wasting your time really. Imagine if you were a bicycle builder and you made your own cables... from scratch. It's kind of like that.

Build the frame and source the components.