Hi Mark, one thing to be aware of is that threads are a very small sized but tightly curved and detailed objects, so adding a bunch of them can hugely increase your model size and really bog things down a lot. So you don't want to have a whole bunch of them, but it is possible to do some small number of them for a zoom in illustration or something.

To create one you do start with a helix just like you were thinking - then you need to draw a triangle and then do a sweep with the triangle as the profile curve and the helix as the rail path, and set the "Twist" option to "Twist = Flat".

See these posts for some illustrations and step-by-step:
http://moi3d.com/forum/index.php?webtag=MOI&msg=767.2
http://moi3d.com/forum/index.php?webtag=MOI&msg=490.36

- Michael