Below is my attempt at making a coupling between the threaded rod and stepper motor in my home-made CNC. The coupling is made in POM-plastic on my lathe and router, and was quite easy to make. It’s basically a 6mm hole in one end and 8mm in the other, with two holes drilled for screws and then a slot routed along the side. The idea was stolen from this commercial Delrin-coupling. It seems to work well, gripping both the stepper and rod tight.