Hi Vich,
the other thing the hole is useful for is inserting the blade of a jewellers saw through when you shear of the wire you are trying to thread :-)
The most successful technique I've found is to hold the wire in a collet in the watchmakers lathe (put a good chamfer on the end), hold the die plate at 90 degrees to the wire using a tailstock tube to support it.
Lubricate the wire with a light oil or cutting fluid
turn the headstock by hand whilst putting pressure on the tailstock and die plate,
only turn the headstock spindle a quarter turn, back off a half turn, repeat
Once you have cut about two whole turns, back the die plate off the wire altogether, clean out the die
thread back on and carry on cutting.
I started out with brass wire (trying to make a banking pin for a cheap pocket watch) and snapped the wire off in the die more times than I care to admit, with these cheap die plates it trial and error and practice, practise, practise. The main problems I found with the finished result were the thread form was poor and as the die plate has a chamfered lead-in on both sides and so forming a thread up to a shoulder is not possible. I expected the plate to have a chamfer on one side and be flat on the other side, but all the ones I have (you end up buying another whole set when you snap the tap off trying to clean out the die) are chamfered both sides :-)
good luck
Sean