I have made these before, not easy. I had to make a holder with the 4-40 threads and screw the unfinished part into it and put in back in the lathe to machine the washer and form the head. Someone might know an easier way but with such a small part in the jaws, the threads were getting ruined, plus I can shape the washer and head easier.
Someone that has access to a screw machine can knock these out quickly. The only think left is to file or saw the slot.