Can I use a threaded rod on a wimshurst machine
Every sharp edge will leak.  A threaded rod consists entirely of sharp edges.  It will leak horribly, and you will have a hard time building up a charge in your leyden jars.



I have built a Wimshurst machine.  You don't want any leakage.  You will have enough cranking to do even when everything is optimal.

Also, don't be surprised if it takes a while before you get your first spark.  You have to crank it long enough to charge the leyden jars up to the needed voltage before a spark will jump the gap.

Wood is NOT  an insulator.  Don't depend on it as an insulator for anything that is supposed to be at high voltage.  Wood looks rather more like a short circuit given the high voltages and low currents that a Wimshurst machine generates.