Click the pix:

I made up a few blanks, about 1-3/4" long, and drilled out the shaft end to relieve it for the truss rod as it is threaded. This hole is 13/64"
Then, I drilled and tapped the business end to 10-32. Here, I wish I had a tap that was just a teeny bit undersize, I think, so the threaded rod wouldn't come out too fat. Anyhow, I think that will be a smallish problem.
Here's where I spent some time thinking. I made up an aluminum clamping block and roughly centered it on my rotating x-y table. This old Craftsman tool is one of the very few items I inherited from my grandfather, who had been a real "Gyro Gearloose."
So I stuck the rotating table on my mill, and proceeded to mill a hole in my little fixture, which I had clamped shut with a small spacer so it would tighten on the part afterward.
By moving the x-feed and rotating the table, I was able to generate a perfectly centered hole to clamp my new threaded part.
Then, with the x-y feeds locked and using the index marks on the rotating table, I was able to mill 7/64" holes down the side of the threaded portion to form the teeth of the die.
Here it is, up close.
Then, off with that fixture, and on with my little cheapie Chinese spin index jig.
I milled 5/16" hex shank so it can be driven with the long StewMac Gibson truss rod wrench.
And, the final shot - turning down the shank to help clear the truss rod pocket and to make it a bit easier to align the tap.
The end
The side