Just to be clear, you are talking about milling a thread and not tapping, correct?
We do our thread milling with the controller. We've never used CAM for that. However, you could probably model the helix in Rhino to the right pitch and the correct distance from the part and use the Along Curve toolpath. I've never tried that so I can't say whether it works well or not.
Do you have a controller that supports a thread milling cycle?