Tom,

I have the same little lathe but have uprated the motor drive electronics. The lathe is good enough for hobby precision ballscrew machining if you use carbide tooling. I have done this.

The other option is to anneal the portion of the screw you wish to machine. Wrap a wet rag around the portion of the screw you do not want to heat. build a little brazing enclosure out of 4-5 bricks, use a brazing torch or a plumbers torch to heat the end. You need to get it cherry red and let it cool at it's own pace. If you do not keep the screw cool, there is a chance it will warp but this can be rectified later too.

Again, I have done this with satisfactory results and the screw machines like mild steel.