Spin it VERY slow, use carbide inserts, take light cuts, lubricate it with straight rapid tap and make as rigid a setup as you possibly can. You have to go SLOW, and likely take a spring pass or two because the pressures involved will be a little higher then normal. Kissing the edge with a diamond wheel also helps.
The finer the thread, the easier it is to do. Your pitch isn't the worst to do, but it will require a pit of patience.
This is not an elegant way to get a thread on, you'l likely go through a few inserts if this is your first try but it will thread ok. The chips will be coming off EXTREMELY hot and if the rod is really hard, they form almost shards. If you go
SLOW, a couple thou at a time you will get a very nice finish though.
Did I mention to spin it slow?
Or you can try a Cermet insert if there is such a thing for threading, the shops i worked at were to cheap and didn't do enough hardened stuff to justify their use so I can't give a qualified opinion on them.
grind it with a toolpost grinder, but the lathe needs very low rpms (20 rpms). It would not be fun.....
Im very curious how this would be done and how the wheel would be shaped and/or oriented.