Here are the steps I use:
Make a cylinder connection between the two parts.
Extrude a surface at the pitch diameter on both parts
Create an intersect between the helical thread surface and the pitch cylinder on each part.
On one part create a datum point along the intersect curve.
Create a slot connection between the point on one part and the intersect curve on the other part.
Now it should spin and translate like it would in real life.