1. If you're creating a Standard Hole (Insert > Hole > Standard) you have the option of creating Cosmetic Threads on the hole surface. It appears with a magenta halo representing where the threads would appear and automatically generates a non-parametric 3-D note that you can show on drawings.
2. For other holes, you can generate a cosmetic feature (Insert > Cosmetic > Thread).
3. To generate the threads as solid physical features in the model, you'll have to use a helical sweep cut. You might want to consider creating UDF's in order to save time and effort.