There's no practical way to draw just the end of such a small A2 part to a significantly softer temper than the rest. I had a friend just go through that exercise with a knife blank. You can heat a spot red hot, but it's going to air quench again.
If you drew the whole thing to RC55 or so, you could try hard turning, but that part is going to be awfully small and floppy for that kind of action. And hard turning threads is worse than just hard turning to dimension.
If you must put the threads on after heat treat, thread grinding is probably your best bet. Get a toolpost grinder and dress a wheel to 60 degrees. I would not be surprised if you have to redress before you finish the threads, so you're going to have an additional challenge of matching up a redressed wheel with your partially ground threads.
Much better to put the threads on before heat treat if you're using A2. I think it would be a lot easier to make and clock/indicate a jig that fits on the threaded end to assist in post-HT grinding of journals, than to make the threads post-HT.