How is the made method ?

The methode is the same a engineering a (metric) bolt.
See:hamerheadbolt-m12
If you look into the design tree you will see how its done....

keywords: Helix, Swept cut,

Hans is right, but you repeat the helix depending on the number of starts required. Have included a sample file in solidworks 2013.

Look at my model: Worm Wheel.
This model is packed with : Helix, Swept boss base, Swept cuts, circulair patterns, metric thread etc.
If you download this model you can use it as a guide.
Hope this will help you to make the model you want.