Like Ron's great link shows...
Running threads are the cheaters way of getting out of using a 3 piece coupling (a.k.a. Erickson coupling). You'll see this from time to time. I've never
(fingers crossed, looking up at the sky) done such a thing before.
There are, however, UL and inspector endorsed "running thread nipples", which are basically all-thread nipples that you can cut to length in the field. These get installed double locknutted. at both ends. You're not allowed to use a coupling with them.