The DX32 control does thread milling very well. You can do it in a couple lines. I have a few older threads that may be of help getting you started.
New (to me) VMC - Page 4
It is also discussed near the end of this thread:
http://www.cnczone.com/forums/bridge...t-dx-32-a.html
Not sure what CAM software your using but I have a proven post for VisualMill and Fusion 360 if your interested.