I use either W1 or O1Tool steel (drill rod). See this link:
http://www.penturners.org/forum/f166/making-your-own-specialty-taps-bock-5-mm-139755/
You can also use a bolt with the ends ground for soft material.
Yeah, I usually use higher carbon or alloy stuff for anything that is to be used on harder materials or that needs to last for extensive use, but for limited use or testing use (particularly by someone with limited experience) mild steel works just fine. In between drill rods that need hardening and mild steel that is only good for plastics would fall alloys like 4140 prehard which is readily attainable and easily worked with carbide tooling if you're cutting standard form factor threads. 4140 will probably never go dull in plastics and is acceptable for soft metals such as aluminum or brass and will give usable service on mild steels and such. Cutting the flutes is what usually is the hardest part (unless you also have a mill) and this is more easily done for something that has limited or single use intended using mild steel than harder carbon steels and alloys.
Alloy bolts (which is what your will find most easily in metric stuff) are fine if you're cutting a standard thread but not if you're cutting something in an unusual diameter or pitch (which pen manufactures seem to have a passion for doing. as in .7 instead of .75 or 6.4 or 6.5 instead of either 6 or 7).
Thread form and pitch is sometimes a problem, Chinese oddball stuff -pen or otherwise- that doesn't have standard pitches and thread forms may take several attempts to get it right. You can use the threads on your part as a guide to get the correct form and depth for your cutter when you grind it, but you may need a decent magnifying glass if your eyes aren't really good. Experimenting with this is where fast and simple cuts in mild steel (or even brass) can be worthwhile since you may toss it after the first try if it doesn't work out.
Grinding a simple V thread cutting tool is pretty easy and is most common, but if you want a square or acme thread or something else outside of the usual you can face a real challenge since you have to grind for the helix angle of the thread as well as the form and allow for relief angles based on that as well.
Overall, making a simple tap no matter the material for use in soft stuff like plastic isn't difficult and doesn't take long, determining exactly what thread can be the harder part of the chore.
But you still need access to a metal lathe with threading capability and the skill to use it. Might not be a bad idea for someone wanting a hobby business to start making them for all the odd sizes found in pens and such, professionally made ones usually cost too much for anyone not intending extensive use from having them made just to try something.