Thanks to all who have replied so far. I haven't actually got any knurling kit, but would have invested if the vibes had been good.
I think I will change my modus operandi.
To minimize material wastage, what I can do is cut 6 equally spaced grooves lengthways on the perimeter of the 20mm rod, using a table mounted router and a sled, and then, in the lathe, drill and tap a blind M10 hole in the end, 10mm deep, and part off at 15mm lengths.
That will give me the head of the thumb screw and I can then insert M10 delrin rod of the right length to complete the screw.
If anybody has any suggestion about a good glue for delrin, I am all ears … I could of course cross drill the head and insert a dowel …
If anybody has any suggestions for commercially available black delrin M10 rod, I would also appreciate that. I could of course thread plain rod using a dieholder in the tailstock, but would prefer to buy ready made, if possible.