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Here is steps to create M8 shaft.
Step 1
Create a shaft definition as shown
Step 2
Create a Point definition as shown
Step 3
Create a Axis definition as shown
Step 4
Go to Wire frame & Surface design
Step 5
Create Helical curve.
Step 6
Create a Helix curve definition as shown
Step 7
Switch back to Part design.
Step 8
Create a slot definition and sketch profile.
Step 9
Sketch as shown
Step 10
Select helix as center curve.
In profile control, check pulling direction & select axis.
Step 11
Finish the part to match the illustration shown.