I've done stuff like that in the past. The trick is to use a fresh sharp tap and keep the plastic extra thick until the area is tapped. It can then be turned to correct thickness. The tap will definitely blow out a thin section surface.
Acrylics can be very brittle, ebonite should work better. But you can also try PET (polyethylene), PBT (polyester) and Acetal (delrin) which may work out to be the best materials. Not sure about PVC, Nylon, or Teflon they may not be very dimensionally stable.
Someone once said metals work pretty good.
You should also use dissimilar materials for the mating threaded parts.
When making threads in wood working these are the sort of tools normally used. Now, tools of this type that are small enough for pen use... I don't know where you'd get those.
I know you asked about celluloid and ebonite but concerning wood I will pass this along - it is not uncommon to tap threads in hardwoods. Just take it slow and easy. Holds well when done correctly.