Tonight I cut my first single point threads on my mini lathe. One of the advantages that the Chinese-made mini lathes have over the American-made Sherlines and Taigs is that they can be used for thread cutting without any additional attachments. To setup the lathe to cut threads at the desired pitch, you change gears in the headstock. A good explanation of the procedure can be found in the Little Machine Shop Mini Lathe User's Guide (PDF).
After finding my change gears and the reading the threading section of the LMS guide, I was able to cut 1/2x28 threads on the end of this 1/2" 6061 aluminum rod:
Also shown in the above pics is a chip tray that I fashioned from some sheet steel and attached to the cross slide using a couple existing holes. I ran across this mod on the web somewhere and thought it was a good idea. It should keep the ways a bit cleaner. Here's a better view: