A version of the classic machinists puzzle. Begin by printing out the nut of your choice. Then begin printing the threaded rod, after you get a few inches in pause the print and move the head out of the way, twist the nut onto the rod and resume the print.

An example of the original method if you haven't heard of it before:
http://www.frets.com/HomeShopTech/Projects/CaptiveNut/captivenut.html