I think thread milling is one of the most amazing things you can do with a CNC machine. Here is my crude home made tool for this operation - I just took an old M5 tap and ground off everything except one tooth.
It is one of the more amazing things you can do - IF you get it right!
I did break a couple of single point thread mills myself at the start - fortunately they were small ones and MYOG at that.
Once you get going, it is worth while buying some commercial cabide ones. Be warned that the prices are all over the place!
It's when you start thread milling less than M4 that it becomes 'interesting'. The very tiny thread mills do get $$. Air cut first!
Cheers
Roger