You can do it with hardend tips if your lathe is beefy enough.

Another method is to weld on some mild steel bar to the end of the screw and then use that as your machined end.

You can also grind off the hardend part then machine, or get it anealed.

Its also handy if you have a collet chuck to hold the screw in the lathe. That way you know it is well centered.