You need to find out if your control has the "helical interpolation" option. This is just an option parameter, so it can be turned on if you don't have it. (Maybe one of the other forum members would know that parameter bit)
To test if you have it or not, try to make a G02 or G03 move in G17 (X-Y plane) and also move the Z axis at the same time, like this:
G91 G17 G02 X0 Y0 Z.1 I.5 F20.
This should make a 1 inch full circle move in X-Y around the center point at I.5, and it should move the Z axis up at a 10 tpi pitch (Z.1). If the control makes the move without an alarm, and all 3 axes move together, you've got the option.