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If the curve is slight in relation to the thread pitch, and the nut is not too tight, then it'll turn. They use this idea in telescopes - see the "curved rod mount" picture here: http://en.wikipedia.org/wiki/Barn_door_trackerhttp://en.wikipedia.org/wiki/B... and also here's a guy that made some by bending straight bolts: http://www.youtube.com/watch?v=HjEIJ3t4jnIhttp://www.youtube.com/watch?v...
From what I can tell this shape (a curved, threaded rod) isn't possible to create in openscad. However, blender can probably handle it. If you beat me to the solution I'd be grateful if you'd post it. I'm a noob with Blender right now.