No, you aren't doing anything wrong.
The reason it shows an interference is because the threads are cosmetic only. On external threads (ie your bolt), the solid model is at the major diameter. On internal threads (ie your hole), the solid model is at the minor diameter. The result is that you will always have an interference in the amount of the difference between your major and minor diameters.
The way we get around that here is by modeling the bolt to the minor diameter. Bolts are purchased items so we don't need to show the thread representation on them, nor do we detail them out on the drawing face so we don't need to use the thread feature for callouts and dimensional sizes.
If we have to manufacture the thread, then we model it correctly and ignore the interference report as appropriate.
--Scott
