Alan,
I almost always try to use the die on a lathe, chucking the die and holding the workpiece (stock) on/in the tailstock of the lathe. This ensures that the starting cut is made with the workpiece held on-center and (more critical) perpendicular to the die face. An even 45 degree chamfer on the end of the workpiece helps for starting. The chamfer should run out below the minimum thread diameter. Note that I'm just using the lathe for starting the thread, rotating the chuck by hand. As soon as I get a full turn or two, I open the chuck, and continue cutting the thread by hand, clamping the stock in a vice.
As I said, almost always. The exceptions are typically when I'm not near a lathe, and the results are (usually) a thread that wanders off-center after about 10 or 15 turns.
You could probably make up a jig that holds the workpiece (stock) in a v-block, and provides a flat surface (perpendicular to the v-block axis) to rest the die face against as you start the thread, and accomplish everything that using a lathe would do.