Blender has a bundled add-on that creates a threaded bolt or nut direct from the add mesh menu.
It might be worth installing Blender just to create your threaded mesh and exporting them in a format your regular software could import. Then combine with your existing model.
From a clean new Blender install:
Enable the add-on: File -> User Preferences -> Add Ons Then search for Bolt Factory and check the check box to enable.
Add a mesh: <Shift+A> -> Mesh -> Bolt
The options on the left Tool menu are only available on initial creation, in the Add Bolt section, choose M6 or M4 presets.
You will need to take note of the scale, for exporting STL files, I usually work with 1 default "Blender" unit = 1 mm. So I would need to scale the model x100 to match this. With the item selected <S> <100>.
Or, since I was doing it anyway to get the instructions for you straight - here they are attached.
Note: There is zero tolerance. The M4s are exactly 4mm Major diameter. Which is probably OK given that they will be cleaned up with a tap and die.
I would recommend testing this with a low value model before committing yourself to an expensive print.