Below is a photo of my latest bit for a vintage car – just a simple starting handle dog. I post this for others to see that when milling, it is advisable to place some sort of support under the piece being machined to reduce vibration etc.
BobH

The old dog had split due to the shaft being screwed into the hardened dog and eventually splitting it – there must have been a lot of brute force at some time. Perhaps even stress cracks during the hardening process.

Martyn,
Turn bar stock to required diameter
Drill / bore to internal thread diameter (or to size if the shaft is a push fit etc).
Remove chuck from the lathe and mount onto the rotary table – make sure it won't come off whilst milling.
Mount the rotary table such that the axis of the chuck is in the horizontal plane and that it is 30Deg. (or whatever angle) from the X axis (i.e. axis Left to Right as you stand in front of the mill).
Use an end mill at the required depth (More than half the depth of the dog diameter) and gently remove material to the required depth.
Rotate the chuck 180Deg and repeat for the other side.
Remove chuck and return to the lathe.
Part off to required length.
Mount the dog in the lathe and clean up the end face.
Screwcut the thread and clean up with a plug tap afterwards.

Hope these notes help.
BobH

I am fitting a revised superheater header / steam pipe to a SPEEDY boiler and have to enlarge the thread from 1/2" to 5/8". Using a boring head in the Boxford lathe. I am just showing a very crude work holding setup for holding the boiler onto the saddle prior to using the boring head to enlarge the hole prior to tapping 5/8 x 26 tpi. The top slide has been removed and the rear of the cross slide had already been tapped 5/16 BSF for a parting off tool. As a safety precaution, I leave the motor drive belt slack and rely on a loose belt to turn the headstock – if a snarlup occurs, hopefully the motor belt will slip. ??
BobH