I only have a small Chinese mini-lathe so when I made my knurling tool, it was constructed on a dedicated tool post. Just swop the tool post and I'm ready to go.
About 2 years ago, I made a chess set using nuts and bolts. The black parts were oil blackened after dunking then in brick cleaner (Hydrochloric acid) to remove the zinc plating. They were assembled using a strong threadlocking compound.