I've done a bunch of searching here and elsewhere and it seems that only Alibre Design has the ability to make actual threaded holes and not just cosmetic threads. Or is there some hidden way to make threads?
Even in Alibre Design Expert, there's no dedicated button or function for modeling actual threads.
Design and Atom work the same way for modeling threads.
Here's a quick and easy overview on it:
Internal is done the same as external. Just sketch the thread Inside the hole, with the root pointing out, instead of in.
If your hole isn't symmetric to a default plane, you'll need to create a new plane bisecting the hole. For the purposes of creating a workplane, treat a cylindrical hole the same as a cylindrical solid.