Yours came with gear cover? That's a rarity! Mine has all the optional-extras but that.
Setting up for screw-cutting is as on any lathe with change-wheels, but limited to two options:
Spindle pinion – idler – leadscrew wheel;
and
Spindle – intermediate driven wheel + intermediate driver – leadscrew.
They cannot be set for fine feeds – were never designed to be. And the single-piece nut means you need reverse the machine for the next cut. For cutting short threads it's probably best to use a mandrel handle, with the motor safely isolated and the drive-belt slacked off, and back-gear engaged.
Other than that they will cut a goodly range of threads properly, and with a lot of trial-and-error calculations, quite a few others to fairly close limits over a short ( <10 turns) length.
The standard formulae apply:
Leadscrew tpi (8 on these lathes) / thread to be cut = Spindle pinion teeth count / Leadscrew wheel teeth count;
OR
That but LS / work = (spindle / 1st stud wheel ) X 2nd stud wheel / LS wheel.
So for 16TPI:
8/16 = 20/40
and for 26TPI:
8/26 = 4/13. Multiplying by 5 immediately gives 20 / 65. (I think the EW change-wheels include a 65T wheel.)
So 20T spindle, any convenient idler on the banjo stud, 65T wheel on the leadscrew.
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For 32 tpi you'd need a compound train:
8/32 = 1/2 X 1/2, e.g. by 20T spindle, driving the 40T wheel on the stud, that combined with the 30T wheel that drives the 60T leadscrew wheel.
i.e. 8/32 = (20/40) X (30/60).
The intermediate two wheels are linked by a little driving-pin in the hole next to the wheel's shaft-bore. (Myford and bigger lathes tend to use a key for that.)
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You'll find these calculations in almost any book on turning that deals with change-wheels, and it's just a matter of adapting them to the change-wheels you have.
Cutting mm threads would be more of a challenge, but not insuperable. Some will calculate near enough for removing most of the metal by screw-cutting and finishing with a die in a tailstock die-holder. Though for small threads (<M6) it may be easier to use a die anyway.
If you need augment or replace any of the change-wheels be careful as most modern gears are of 20º pressure-angle. Those on older machines like the EW Lathe may be of 14ºp.a. They will mesh, if the same pitch, but not properly, risking harming both.
NB: It is very bad practice to try to cut threads the same or coarser than the lead-screw, especially on a small, rather delicate lathe like the EW. It puts very unfair stresses on even a large machine.
It can be done with care on a larger machine by driving it manually, from a leadscrew handwheel, but I would advise nothing coarser than 12tpi, maybe 10tpi (1" BSF), and with very light cuts on the EW.
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Some owners have adorned their elderly EW lathes with all sorts of elaborate modifications like stepper-motors, but I prefer to keep my older machine-tools as original as possible. If I want that sort of sophistication I'd buy a sophisticated machine, but each to his or her own!