Would you cut a grove between the shoulder and the threads? Wouldn't that give a margin of error for threading?IMO, do it. Practice on a rod many times until you and more comfortable. You can even practice on an aluminum rod a couple times before moving up to steel rods. Everyone has a 'first time'. It's always still a little nerve wracking doing it on the real deal. Worst case a new replacement barrel is $85 for the cost of education. What is learning to DIY worth to you?
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To do threads properly you really need a way to measure pitch diameter. 'Thread wires' are a cheap way to do it.
If you don't have a really slow spindle speed that you are comfortable threading to a shoulder, there are tricks like putting the threading tool upside down behind the work and running in reverse. That might not be a good idea on a SB9 lathe due to the threaded chuck/spindle nose (which can start to unscrew itself.) Another cheat I've used sometimes is to spin the spindle by hand. That takes a good sharp tool but you can go right up to a shoulder.