if you want to show a thread which is physically cut into the part i believe you have to make a helix and do an extrude. its a little tedious but ive done it before. It helps to have a machinist handbook on hand that way you can get the exact measurements for the pitch, etc.
if you want to show a "cosmetic thread" basicall a image is overlayed on the hole surface and it is rippled to simulate threads. If you use the hole wizard then under options you have to check the box that says "with thread callout" and pick the screw image in the middle.
On drawings in plan view you will see the hole and the outer diameter of the thread in a dashed line. hope that helps.