Wallace,
There is quite a lot more to it than just thread pitch. I assume you are using steel to make your die holder. What thickness will the metal be where the adjusting screw fits? You see it is necessary to have several complete threads to engage the set screw so if you use a too course thread in a thin area you may only end up with only one or two threads that would easily strip. Fine threads would probably best in thin sections. It also depends on the tapping size drill used which must be a bit larger than the core diameter of the chosen thread. I suggest you buy a copy of "Drills, Taps and Dies" by Tubal Cain which explains thing very well, is inexpensive and is a mine of information.
By the way it should never be necessary to tighten the adjusting screw on a die holder so hard that the thread strips. I understand your commercial one may have been faulty (most likely a Far Eastern product). Split dies are only intended to have a very limited range of adjustment and is bad practise to try to get a looser thread by over tightening them so try a slightly reduced outside diameter work piece or most likely the die is blunt.