As Jason says, part of from the raw material afterwards.
Hold the work in the Stevenson collet block, and mill the slot.
If the nut is wider than the block, use packing pieces between the jaws and the block, or have the block overhang the vice jaws just far enough for the clamp nut to clear the jaws.
Rotate the block ready to mill the flat.
Reposition the mill table
Mill the flat, possibly, a few thou over length.
Remove the work from the block
Make up a collet to fit the shank of the work.
Split, so that you have two half collets to fit around the shank. Concentricity is less important since you are parting off and will face to length. So any slight lack concentricity will be purely cosmetic.
Hold the work in the two half collets in the lathe.
Part off, and face / chamfer to length.
Howard