I have threaded all kinds of stuff. There are a few pitfalls...
Make sure to use a cutting fluid on the die. In a pinch, use motor oil. They key to good thread making is to cut a little at a time, go slow, and back it out often to clear the metal chips you are creating.
What I mean by "backing out" the die is this: Once the die starts cutting into the barrel, turn it about 1/2 half turn, then back it up about 1/4 turn. Every 2 complete turns or so, back the whole thing off the barrel and clean off the chips. Keep oil on the cutter. What you are doing is making sure it doesn't seize up. You want nice clean threads...
The die should have an adjustment screw. Ideally you would adjust it to make the threads have a large diameter (open up the die), make the first cut. Then you check your muzzle devices to see how they fit. If they are too tight, close the die down and make another cut (the second cut is much faster, you don't have as much backing up...). Keep adjusting the die smaller until you like the fit of your muzzle devices.
As for using the TPI, thread it into the die so that the edge that will face the muzzle is buried about half way into the die. As the die starts cutting, the TPI will bottom out on the muzzle...STOP THERE and back out the whole thing. At that point you should be able to put the die on the muzzle without the TPI and complete it.
Hope this helps...if not ping back in and I'll confuse you more....