Threading blued steel is a no-no. It will kill your die (or screw plate). Period. Someone will say it's possible, they're wrong. Use O1 or similar steel in its annealed state, harden and temper afterwards. Someone will say "it'll warp", they may be right, but you can straighten it. I make at the very least 2 per month among many other turned parts and my dies and screwplates love me.
If you need to anneal steel, it needs to be heated to red then cooled as slowly as possible. I do it in iron tubes about 20mm diameter packed with charcoal dust, heat it to full red/orange, next to firebrick, then let it cool.