Threading on a lathe is a bit tricky sometimes, but once you get a setup figured out it works pretty well. The real trick is getting exactly the right "nose" on the cutting tool if you want a really accurate thread. A geared (selectable) connection between spindle rotation and tool carriage axial traverse is pretty much necessary. I doubt that I'd attempt it on one of the "continuously variable speed" lathes, and some older geared traverse ones always seem to require "one more gear" to swap in to get the pitch you want.
The common UN (Unified National) threads are UNC and UNF. A UNS means a "special" and nearly always is a fine pitch (more turns per inch) than one of the standards. There's little difference other than tolerances between NC/NF and UNC/UNF threads, and the "U" is unlikely (even here) to be specified except for aircraft or other critical uses, although it's a little more common for "deviant" pitches that depart from the conventional Coarse/Fine standard pitches.