I have a small cylindrical part that I need to put a thread from the side through to a hole in the middle. i.e a set-screw thread.

The main cylinder was done with an extruded boss and the middle hole with an extruded cut. A hole through the side was done using an extruded cut from a circle sketched in the centre.

I am trying to use the Insert>Features>Thread but this doesn't seem to be able to identify the cylinder I want the thread in. It  doesn't seem to be able to identify the edges on the curved inner or outer surfaces either.

Is this a limitation of the Insert>Features>Thread? Do I have to create it with a spiral cut?