There are a few ways to make a threaded pulley, using a lathe or witout a lathe.
Making a threaded pulley without using a lathe
Use a hand drill and a file to cut the slot, then hobbed it with an M3 tap mounted in the drill, using bearings mounted in a vise to let the bolt spin - see this videos:
- cutting a slot in shaft using a file and hand drill;
- using a M3 tap on the bolt to form the threaded on the bolt:
Video using File:Pinchwheelwormdrilljig.zip.