I have never tapped a shaft though it seems real useful. I found this: http://en.wikipedia.org/wiki/Tap_and_die
Do you do the die part as well? thread the set screw? Or do you just buy a set screw and then make a tap for it? Do you think I could tap with a hand drill or dremel? I have access to a drill press but it's like an hour away.
Thanks!
You always do the tapping by hand power. You have to relieve the stress on the actual tap as you go, or the tap will break, and then you'll have the fun of getting a broken tap out of whatever you're tapping. This is done by turning the tap counterclockwise a bit after every half turn or so of clockwise tapping.
In metals harder than aluminum, and for deep holes in aluminum, you have to be concerned about tapping straight. This can be done by starting the threading by placing the tap in a drill press's chuck, and then turning the chuck by hand. And for any metal, you should be using some sort of lubricant (e.g. tap magic, but any sort of oil is better than nothing.)
The hole can be drilled in any of the usual ways. (Though a Dremel generally isn't for drilling... especially holes that are deep enough to be tapped.
You get better with practice, too.