If this thread doesn't attract Lyn Mangiameli, then we know something is
really wrong. I believe he was testing a harmonic balancer about the time
he got sick. The attachment point should be at the headstock. All-thread
sounds like a good idea, but be careful--to work effectively, the balancer
has to be tuned to resonance, which means that it will be vibrating A LOT.
The stresses in the metal near the attachment point could get high enough to
crack the steel, and having threads in that area will make things worse
(stress raiser.)

Arch, you should also recognize that this discussion has gone in two
different directions: you asked about harmonic balancing. A number of the
responses have been about static balancing, which is an entirely different
thing. If you can get a piece in balance, that is good, but it is not
always an option. You may want to turn around an axis that does not go
through the center. You may be turning a piece that is non-uniform in
density. That is where harmonic balancing would be called for.