Khiraly asked me to explain how I manage to put a thread on stainless steel, so here goes.
Aluminium and brass are fairly easy to thread, but stainless steel is very tough. In order to make it easier you need to use a split die and a holder designed for one.
By tightening the middle pointed screw you can force the die to spread and increase the diameter of the thread a little. That allows you to make a first pass that doesn't cut as deep, so does not require as much force. By loosening the middle screw and tightening the outer ones you can reduce the thread diameter and make a second pass.
Another thing that makes it easier is to use cutting compound to lubricate it. I use Trefolex on Adrian Bowyer's recommendation. It is a sort of green lardy gunk.
To start off you need to align the rod or tube that you are threading orthogonally to the plane of the die. The easiest way to do this is with a lathe. You put the work piece in the headstock chuck and mount the die in a die holder that slides along a bar held in the tailstock.
You then turn the chuck with one hand and the die holder with the other. I use the handy chuck grip that I RepRapped, but a chuck key can be used to turn the chuck in 1/3 turn increments.
You need to go about half a turn forward and then one third of a turn backwards to break the chips off. If you don't it may jam.
When you start you need to feed the die against the workpiece with some force, but once the thread is started it feeds itself.
It is unlikely the chuck will have enough grip for cutting a stainless steel thread from scratch. You may have to file some flats on the stock.
If you don't have a lathe, the next best thing is to put the workpiece in the chuck of a drill press and put the hand die holder flat on the bed. Let the weight of the head press the work into the die and turn the chuck by hand. Once started you can put the work in a vice and spin the die holder.
Using a die to extend the thread on a hex head bolt is much easier because you start on the existing thread and you can hold the head in a chuck or a vice.