The simplest solution is to just keep a coat of a good rust resisting lube like CLP Breakfree on the threads.
As long as the coating is intact, it won't rust.
There are other rust proofing products available said to work as well or better.
Cold blue is not a protection to rust, and due to the acid in them they can actually cause rusting.
If you want to color the steel just for appearances, I recommend Brownell's Dicrophan T4.
This colors steel a dark Black, not Blue, and seems to be more durable then most of the cold blues.
The Black color tends to blend in better with the factory blue.
Unlike many cold blues T4 can have many coats applied and not start puddling up.
To degrease the steel I recommend Acetone.
Lacquer thinner contains other chemicals that do leave a slight residue.
After thoroughly scrubbing and flushing with Acetone, flood the area with 90% or better alcohol.
This completes the degreasing.
Warming the metal will force any moisture to the surface and dry it. When warming you'll actually see the moisture form and evaporate.
To warm the metal I recommend a hair dryer, not a heat gun or torch.
A hair dryer will WARM the metal not make it really hot. If the metal is too warm the heat will actually prevent a good "take" of the cold blue as it dries way too fast.
After applying the blue with a q-tip wait about one minute, then flush thoroughly with hot water.
Spray with alcohol again and brush with a CLEAN toothbrush soaked in alcohol, let dry, warm with the hair dryer and apply another coat.
Continue a few times until it's looking dark and dense.
Flush thoroughly with hot water a last time, brush gently again with alcohol and toothbrush, then apply your favorite lubricant to prevent rust.