In past models I avoided making studs other than a few fake ones with threaded rod. But with my current Muncaster engine it seems mandatory to make them. If like me you're blessed with a CNC mill then then you can thread mill each end as long as there is a convenient way to hold them vertically on the mill's table.
I will be using drill rod and holding it in a collet vise. Most of the studs are 1/4-20, 12 for the steam chest cover, 6 for attaching the chest to the cylinder, and 6 more for cylinder to base.
So my process will be to use the lathe to part off all the pieces to length and to chamfer both ends. Then for each end it becomes a matter of inserting the stud into the collet, move it up to touch the bottom of the thread mill to establish Z0, tighten the collet chuck, and hit the green button. A 1/2" thread length done in three passes takes a couple of minutes using conservative feeds & speeds. One thing I did learn from my first few threads is to check it in a tapped hole. I made pins on which a nut would screw nicely but was too tight for the fit of the tap I am using and/or the starter hole.
It's also possible to make threads smaller than the stock by adding extra passes; for example, 10-32 threads on a 1/4" rod.
For studs and pins smaller than 1/4 I use model scale nuts from American Model Engineering. I have used their nuts for screws as small as 2-56. I think that for a 2-56 stud I'd just use threaded rod or cut the head off a screw. They also can provide model scale screws with hex heads that look much better then socket heads.