Daz,
Looks like the others have nailed the type of thread and getting it to size, but there is just one little thing missing.
But first, if you do have an adjustable die, you gradually reduce the size of the thread diameter until the nut just goes onto the newly cut thread, but not all the way to the end. If you adjust down until the nut screws all the way up the thread, the first part of the thread will be very loose, to such an extent, if the nut is tightened when on that area, the thread is liable to strip. If you are using a non adjustable die nut (the type normally sold cheaply on markets) you are stuck with the size you have, but this little tip just might get the job done.
If you look at my little crap-o-cad sketch, I hope it will explain a problem with using normal dies to cut a thread.
Pic 1 shows that the leading edge of the die cutting bit is usually tapered to allow it to start cutting the rod easily.
Pic 2 shows what is produced. A tapered thread towards the end of the cut.
Pic 3 shows the little tip, turn the die around. If it is in a dieholder, the holder should have hole in the back to allow you just to flip it over without altering the die compression settings, or if using the die nut, again, just flip it over and start the thread using the back of the die.
Pic 4 is what should happen. The narrower part and non tapered cutting edge (now at the right size for the thread), should just skim off the taper on the shaft and leave you with a completely parallel thread.
Cutting lubricant MUST be used. If you haven't got the correct cutting oil, try a bit of engine oil, or lard (very similar to the old fashioned tallow).
The cutting action should be, one full turn forwards, one quarter back, then another full turn then a quarter back. This action releases the chips that are forming and stops them digging into the already formed thread and damaging it.
I hope this helps with your problem.
John