hope this will help.
create a solid profile as shown.
make a vertical line (greater than radius of curved profile) on the face as shown.
on same face, but in another sketch make a circle of radius same as length of line.
use this circle to make helix of required height and pitch.
now draw a line equal to height of helix as shown.
now make surface sweep...vertical line as profile...horizontal line as path... and helix as guide curve.
now in 3D sketch module, choose intersection curve (in Tools-->sketch tools-->).
Choose complete solid profile and surface sweep to make a intersection curve.
this will make a curve profile on the surface of solid profile. hide sweep surface and it will look like as shown.
use this profile as path for sweep cut thread profile.