I wrote a very detailed instructable on how to make a wood tap from a bolt. The tl;dr version is:

Taper the end of the bolt on a bench grinder

Cut flutes in a bolt using files or an angle grinder

Clean up threads with a nut

In that instructable the head of the bolt was removed. In this application the head is very helpful with threading the rolling pin. Please see that instructable for clearer directions.

With the rolling pin still secured in the nova chuck, position the tap in the pilot hole with a socket supporting the tap in the tailstock. Using the tailstock in this manner will allow you to apply pressure to start the tap but then allow the tap to pull the threads through at the correct feed rate. You will not need to continually apply pressure from the tailstock once the threads start, you will only need to keep the socket in the correct position to hold onto the head of the bolt. If it isn't obvious, do not turn your lathe on for this tapping process. Thread the entire hole by hand, clearing out the chips every 1/2 inch to an inch.

Thread two inches into the rolling pin. Repeat on each end.