Boxwood is great for threading. Light woods are the worst, but impregnating with CA or linseed oil may help.
If you want to thread wood, you may use taps, but you have to forget using dies, take a 10 000 rpm cutting tool instead!
Darrin, I use a stronger machine than a Dremel, but it is the same. In front is the threading machine, home made on the same idea as Hope's threading jig. Here are the tools I use, made from a HSS bar. Hope it helps.