I think Delrin is a much better choice than Nylon indeed a much better choice than anything for threading.
Nylon and other plastics like UHMW polyethylene are a bit flexible and do not cut nice threads because they tend to run away from the tool. They are also nowhere near as strong as Delrin. It is possible to get glass filled nylon but cutting threads in that is a lost cause I think.
Delrin is probably the strongest non reinforced plastic available (at an acceptable cost). It machines very much like brass; you need zero top rake and a good shapr edge. Coolant is not essential but it can improve the surface finish and certainly helps with drilling and tapping. Speed and feed should be around the same as brass, although in some cases you can go like crazy if you are using flood coolant on production parts.
One minor disadvantage with Delrin threads is that it has a low coefficient of friction and threaded parts can come lose due to vibration, especially with large coarse threads. The low friction can also be a nuisance because Delrin parts will pull out of vises and chucks under the cutting load.
Overall Delrin is a dream to machine.