Make sure you have a hole with the minor diameter of the thread you want to cut first.
If you don't have the hole yet, use the "Hole Cutting" option from the menu above.
Once that's there, make sure your thread mill is a the exact centre of that hole, and a tiny tiny bit above it(1/100mm will do), just so that the thread has a nice lead-in. Add the distance you start above to your thread length.
Once that's all done, start the GCode.