My experience has ranged from good to poor.
Yesterday, I posted a piece on hammers that involve threading tenons to screw into a pipe fitting with 3/4" NPT threads. For that I used a shop-made die made by filing a groove in the threads in a galvanized steel coupling of that size. The pieces that I was threading were all spindles, so the threads were perpendicular to the grain of the timber. I was using very hard (and very dry) timber, and was barely able to cut threads.
I've had better success in making wine stoppers. In that situation, I was threading a hole using a commercial tap. My experience has been that it makes a big difference whether the hole that I am tapping is drilled into face grain or end grain wood. Holes drilled into end grain don't thread nearly as well as holes in face grain. The comparison with the hammer example is clear - it's harder to cut threads in wood when those threads are perpendicular to the direction of the grain.
I've made quite a few wine stoppers of the dowel/silicon sleeve type. that requires that the dowel be glued into a hole in the turning. In that case, the dowel provided with the stopper is 3/8" diameter, while the hole that I drill in the turning has to be 5/16" tapped for a 3/8x16 thread for mounting on a stopper mandrel. I've never been able to satisfactorily thread the dowel using a commercial 3/8x16 die, but again the threads are perpendicular to the grain of the wood, and are generally miserable. So instead I find that the best solution with this stopper design is to drill out the threaded hole in the turning to match the dowel.
Finally, I have a 1"x8tpi tap that matches the spindle thread on my lathe. I've had very good success in making wood faceplates or glue blocks that simply thread on my spindle . Once again, there is a qualitative difference depending on whether the hole that I am attempting to thread is in end-grain or face grain, with face grain holes producing very good results and end grain holes moderately less so.
So my conclusions are:
1. It's always easier to cut threads in wood if the threads are parallel to face grain. Conversely, threads that a perpendicular to face grain are often unsatisfactory.
2. It's easier to thread holes when the thread pitch is larger - 8tpi has worked far better than 16tpi for me.
3. It's difficult to cut acceptable threads in wood tenons. This is probably a corollary to observation 1 since most tenons are spindle-turned.
4. Commercial taps and dies work much better than shop-made substitutes.