For toolmaking, thumbscrews are often needed. Unfortunately, they are often not readily available. So I make my own.
My procedure is as follows:
Obtain thumb nuts and matching screw(brass, flat head).
Countersink nut slightly, this is because the top of the nut is already countersunk, but not at the correct angle, see photo #2.
Epoxy nut to screw, so that the screw head is firmly jammed up against the nut(the head is on the top of the nut, the screw extends towards the bottom).
After the glue is done, clamp assembly in machinist's vise, so the top of the nut is flush with the jaws, but the head protrudes.
File or cut away the head until it is flush.
Sand away burrs and make sure head is flush.
Now, you could either leave it at that, or the shoulder can be removed.
To remove the shoulder, saw on four sides the part where the desired knurling meets the offending shoulder.
Cut down on all sides and break away shoulder.
The screw right below the knurled head is not square, and messy.
Clamp down drill, chuck assembly in, and, using a file, remove the square portion.
Also, sand screw while it rotates, this makes it much better looking.
Also the thumb nuts I buy have a straight knurling(only up and down), but I prefer a square or a diamond knurling(diamond is really the best, but I can't make it), so while the screw is spinning, I make small grooves using the edge of a triangular file. Make one end of the file rest on something, this helps to steady it.
Here you see, from left to right, a shouldered screw, and two un-shouldered screwsLeft to right; screw without a correctly countersunk nut, screw with countersunk nut, and a total mess-up.
This way is definitely not the only way to go:
-Use this other tutorial
-If you know anyone who has a metal lathe, get them to do it for you.
I think also St. James Bay Tool Co. sells them