You could do this two ways that I can think of ....I attached pictures of a job I did below.
I'm assuming you have a 8 pitch leadscrew. If you have a 5 pitch it may be a good deal easier.
The offset method.
Set your compound parallel to the work piece. Your going to need a stout lathe as your going to plunge cutting this thread if you do it this way.
You need to set your gearing to 2 1/2 pitch.
Then cut a single thread for the length required In brass or aluminum this should not be a problem
That attached photo shows a 2 3/4 - 4 double start
Cut to full depth. DON"T DISENGAGE THE HALF NUTS! Back the lathe up to take successive cuts.
Now return to the starting position and using the compound, advance the tool by 0.400" with out changing the half nut location. You should be in between the threads of the previous cut. Cut this thread to full depth.
You may need to rough the thread with a roughing tool that is smaller than the finishing tool if only to take the bulk of the material out of the thread and improve tool life. Tedious!
The other way to do this would be the index method.
Set the lathe for 2 1/2 threads. Set the compound for 14.5 degrees. and grind and align your tool accordingly.
This method allows you to cut on only two sides of the tool as opposed to 3 with the previous method. If your lathe isn't that stout...do it this way. Again DON"T DISENGAGE THE HALF NUTS!
As to the cut, I would consider cutting it between centers here as the lathe doesn't really allow for offsetting the gearing. To do that I would mount a 4 jaw chuck and chuck up a small piece of round stock. Turn a 60 taper on this piece. It will run dead true provided you don't move it after machining the taper.
Now mount the work between centers and mount a drive dog on the piece. Mark two opposite jaws on the chuck 1 and 2 with a magic marker.
No drive the part with jaw number 1 and cut the thread as usual. Once to full depth, back out and rotate the part/dog to be driven by the opposite #2 jaw. DO NOT REMOVE THE DRIVER DOG! Again cut to full depth.
While your cutting these threads, you will need to lace the part against the driving chuck jaw so that it stays in contact at all times.... a piece of leather shoe lace works great here.
Either way will work. or perhaps you will take this advice and your situation and come up with a better way for you.
If your cutting stainless, I would do the index method which would reduce the cutting forces considerably.
Good Luck!
Dave