SW 2016 introduced a thread feature (2016 What's New in SOLIDWORKS - Creating a Cut Thread). If you're using an earlier version, see Threading Options. Please keep in mind that while you can create threads, it doesn't necessarily mean you should. That's adding a lot of surfaces for your computer to have to sort through. Unless you absolutely need the threads for 3d printing, or for some other reason, I'd recommend not creating them at all. Even if you are creating a model for 3d printing, I've seen others here recommend cutting the threads after the part is printed for accuracy. At some point in the future I imagine the 3d printing technology with be able to make accurate threads, but it's my understanding that it isn't there yet.
I rarely create threads. They can drastically slow down performance, especially if there are multiple instances in an assembly, and even inserting a drawing view of a single Part with threads can slow things down. I often put a note in my drawings that says something like "Threads not shown for clarity". If you need threads just for visual effects, then go ahead and make them, but if you're using multiple instances of the Part in an Assembly I'd strongly suggest creating a configuration with the thread feature suppressed, and use this configuration in the Assembly.