Your round stock is clamped so that it points upwards. Align the mill centred over the stock, and lower the mill slowly until it touches. Set X,Y and Z to 0, and run the code.
When it's time for the tool change, put the thread cutting mill in, and adjust the height of the thread cutting mill so that it sits exactly on the same height as the start of your thread (after the lead-in if you have one). Now set Z to 0, and leave X and Y as they are.
Re-start execution.
I use Kyocera mills.
The thread mills are on page 68. They do cost a fortune I'm afraid.