We used to make shoes for the extensometer. We would use thin nuts that matched the thread and cut sections of them and epoxy them to the extensometer arms.
You can just clip onto the thread, but if the material has high elongation you may get some twisting and some odd elongation values.
I like Ed's solution - very clever. I would be dubious about trying to apply directly onto the threads - angle of threading will produce an invalid result unless you are using pointed arms and in that instance both points would have to fall into the thread roots if perfectly longitudinally oriented. You may not need an extensometer if your load frame is modern enough - you can just used cross-head displacement to determine yield.
Is there any reason why you cannot test by machining a round tensile instead?
