Geraldo, thanks for the link. It is a good starting place but I think I might like a few bits of information to it.
Each thread size requires the correct size "tap drill" so that it doesn't remove too much material or too little. Use one of the thread charts to determine the correct drill.
While you can use just about any oil to lubricate the drill bit for drilling, there are special thread cutting oils available at the hard ware stores that should be used when tapping a hole or cutting threads on a rod with a die.
These oils usually have a high amount of sulfur in them which keeps the cut metal from sticking to the tap/die.
The oil is cheap and to use some other regular oil (which won't work well) is asking for a broken tap.
When your tap starts cutting you should pay attention to the amount of resistance you are getting. Any time this resistance starts to greatly increase, unscrew the tap at least 1/2 turn to break the chips in the hole off, then run it back in and proceed with cutting some more threads.
Assuming we are talking about making threads for a existing screw you will need to first measure the outside diameter of it.
There are standard sizes of these screws. The smaller ones are designated by numbers and the larger ones by fractions of an inch.
If your thread diameter measures .112 it is a #4, if .125 it is a #5, if .138 it is a # 6, if .164 it is a #8, if .190 it is a #10.
The fractional sizes are pretty much self explanatory.
Each of these thread sizes will have either a course thread or a fine thread. This is a measure of the number of threads per inch.
Assuming you have some taps, the easiest way to figure out which thread series (fine or course) you have, try to mate it up with the threads on the screw. The correct thread tap will match the threads on the screw exactly.
Hope this helps a bit.
zonie