Now the "pluginless" method is as follows:
Make one segment of the thread, make it a component
Move one side of the segment up by the needed amount (here I used a default circle with 24 segments so I moved this up by 1/24 of the height of the segment - the image is of course exagerrated, see the following ones below)MoveUp.jpg
Copy rotate it along one segment
CopyRotate.jpg
4) Move it up to meet the endpoints
MoveUp2.jpg
5) repeat it with a growing number of segments (once you reached around, you can already Copy-move the whole round up as many times as you wish).
CopyRotate2.jpg
I exploded the whole thing at the end, otherwise I couldn't have smooth transitions between the segments but is you make a segment from midpoint to midpoint along the circle instead of endpoint to endpoint, you may be able to keep the components.
There are actually plugins that could do this (like Follow me and keep and such) but sometimes I feel it's faster to do by hand as well as one really needs to also know how to model hings not just push buttons. π