Unpowered tapping on drill press and lathe (starts at about 2:15):
http://www.youtube.com/watch?v=JTEra2ROUfU
This is for metal, but the process is the same for plastics; your taps should be very sharp, and some sort of lubricant that won't react with the plastic should be used. Dishwashing liquid is adequate if you're unsure of what will react, and washes out easily with water. For metals I use mineral oil or motor oil if I don't have any proper tapping fluid on hand (Tap Magic for preference:
http://www.mcmaster.com/#tap-magic-cutting-fluids/=awjkkm ).
Using a die on the lathe is very similar, with the die held in a die holder (who'd a' thunk?) cutting an external thread on the part.
In either case a collet chuck is best as it gives a much better grip (and full-circle support of the part) than a three- or four-jaw chuck. When tapping plastic in a three-jaw chuck there's a tendency for the threaded hole to end up tighter between the jaws if the wall is relatively thin because the plastic will be pushed outward there by the pressure of the tap, then will spring back once the tap is removed.
I try to do any internal threading as the second step (after boring the ID to size), then turn the OD afterward; that also allows me to make a threaded mandrel to fit preciesly in the bore to support it.