As I see it, and I am no expert, threading stainless can be a bear. Grades might cut reasonably easily or just work harden. A good finish may be difficult to achieve. Carbide likes higher speeds and loadings, so may not be a better option. Perhaps better to rough cut and finish with a die? But try it and see is the best way to find out!
Possibly a case for a four jaw chuck (more grip) or even a collet to hold the workpiece. It may depend on the quality and size of your machine. There is a big difference between getting to grips with lathe threading methodology and then changing the materials to something more difficult.
One advantage with using a cutter on the lathe is that you can at least resharpen your tool! Not all dies on the market are of high quality. A lathe cutter is guaranteed to cut a concentric thread, too.
I recently had an example of an old imperial die, which cut a thread (fairly heavy cutting on a hard bar), but a new die of chinese origin simply would not cut a similar metric thread on the other end. The bar did not machine easily, but that old british die was in a different quality band to the brand new imported item. I sourced the die because I thought it was the easy option at the time. Not an expensive mistake, but I won't make it again, hopefully.
Edited to add that others got there before me
Edited By not done it yet on 09/02/2017 19:22:56