Whoops. Pardon my lack of SolidWorks grammar; I should have said make a "cut-sweep" with the helix as the path.
1. Make a helix, then create a work plane perpendicular to one endpoint of the helix (Insert>Reference Geometry>Plane and select the normal to curve radio button, then click on one end of helix).
2. On the new plane, sketch the thread section geometry, close the sketch
3. In browser, select the helix and the thread geometry sketch, select Insert>Cut>Sweep
Still think "printed" threads are a lousy idea, but then haven't seen whether the newer machines can give good enough surface finishes.