What I have done is to use "long nuts" (I don't know the right name sorry) with a cut/split through one side between the two holes....also I found that threaded rod is not very accurate, so I recut all the lengths of threaded rod with a standard DIN Die nut. This got me a thread that was the same along its whole length....

The "split" nut was then slightly squashed in a vice, till it was a firm fit on the rod. I then used metal polish and ran the nut up and down about 10 times with an electric drill, to "lap" the two together. Clean well and lubricate with a light grease or oil, best quality.......I use two hose clamps to keep the gap where it is....

This is not as good as proper threads for CNC of course, but gives a surprisingly good system that can make pcbs quite accurately......I measure about 0.02 to 0.04mm back lash....or about 0.00158" Max.

I would use a good silicone oil if I could find one, but its not as easy as I though....I have not repolished yet, but eventually I expect I will need to do that.....I have used the vice once to close up the split again....

Its a cheap way, costs very little, but proper screws and nuts are always better....I also use skateboard bearings for the radial loads and axial bearings for the axial loads.

This site gave me my inspiration:-

http://buildyourcnc.com/default.aspx

regards
Andy