If you turn a lot of pens already, and happen to pick up some acrylic pen blanks, you can practice your techniques on the cutoffs you have laying about. In fact, you can even practice your techniques on wood scraps from your pen making as well. Wood can actually be made to accept a thread, if properly treated.
The usual method is fairly simple:
First, drill your hole (a little undersized)
Next, soak the inside of the hole with some thin CA (this will stabilize the wood - not necessary for acrylic, but it makes the wood act more like plastic) let it dry.
Next, run your drill (the same one you just used) through the hole to clear excess CA from the hole.
And then run the tap through to cut the threads. Another coat of thin CA will help stabilize the newly exposed wood. Once that dries, run the tap again and you're good to go.
As for drilling and tapping on the lathe, the best way I've seen is to do it without applying power to the lathe for the tapping part .... drill at low speed to avoid heat buildup. Don't forget to use a drill size 1 to 3 sizes smaller than the thread size you want.
Mount your tap in your tailstock chuck using a freewheeling live center chuck (DO NOT LOCK IT IN PLACE). Move the tailstock up to the workpiece and lock in place. Turn both the chuck (with the tap) and the handwheel to advance the tap at the same time to tap the hole.
The tailstock will keep the tap running true as you create the threads. Do not forget to back the tap every 1/4 to 1/2 a turn to clear the chips.
