There is no universal answer to this as it all depends on the material and how deep you make the threads. I have made plastic and wood pens with wall thicknesses ranging from .040 to almost 0.10" before threading. For metal you could go thinner. Experiment and you will find what works for you in terms of performance and design.
In addition to what Bruce has already said, I just wanted to add that, it always just bugs me to look at an acrylic pen, and see the threads thru the surface. JMO