By using the helical 3D printing method, a cylinder with screws can be created by a single roll of filament. Screws are formed both on outside and inside of the cylinder. So, if forming multiple cylinders with close radiuses, they can be screwed in each other. I took some photos of such nested screws.
By adding mostly vertical (but slightly skewed) sine waves to a cylinder, a simplest screw can be formed.
By adding third harmonic waves to base sine waves, a more squared screws can be formed. The former screw must be better in strength.
Both types of screw can be nested. In the photos below, the threads are shallower for smaller screws. That is, a smaller cylinder has a smaller thread. (The shape are similar.) However, the depth of thread can of course be made constant.
If two threaded cylinders of the same radius are connected by using a smaller threaded cylinder, they can be pretty tightly connected. The photo below shows sine-wave screws, but square-wave screws can be used in the same way.