Mills are more limited than lathe - they don't have leadscrews, which are a necessity in the "build yourself" phase. You cannot make arbitrary threads with a milling machine. Thread milling gives some capability in this arena, but that's a CNC process.
One can make arbitrary threads (vertically) on a CNC using a single point cutter (limited by the height of the Z-axis/thickness of the stock which one can fit a tool over/into):
Mills are more limited than lathe - they don't have leadscrews, which are a necessity in the "build yourself" phase. You cannot make arbitrary threads with a milling machine. Thread milling gives some capability in this arena, but that's a CNC process.