Ok, i can remember an old tutorial i saw, the guy did a cylinder with enough segments, then created a 3 point poly and then a spline running around the cylinder, then rail extrude the poly to get the thread. The use that to boolean your threads into the screw.
Although there is bound to be loads of other ways. This is a fast way.
Springs,,,
http://home.no.net/tbj69/Gallery/T03.htm