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Here is a part model of a threaded cylinder that I made in SolidWorks 2007.
You may have to go to Tools/Customize/Commands/Features, to get the "Swept Cut" or "Cut-Sweep" command button. Check out the Feature Manager Design Tree, to see the creative process. Make a copy (File/Save As.../Save as copy) and play around with editing the sketches and features, to see what happens.