I bought a HSS internal threading tool from Grizzly. It is 3/8"x 5/16" x 3 1/8" #H5692 $12.95 (pg 558) and for the price comes with an internal boring tool as well.
Grizzly also sells a carbide internal threading tool holder G7033 for $15.25 (pg 556). It wouldn't work for me because it was designed for larger diameter internal threads than I was doing.
I have a Grizzly 9x20 as well.