I've seen threaded pcb holes, but they were only meant to retain a captive screw - threads on the end and a smaller diameter round shaft below the head - your cheapest solution assuming you are using FR4 is PEM nuts - available from any hardware distributor - manufactured by PEM Industries, Captive Fasteners, and others - with versions specifically for use in PCB's.
i too have used swagged in PEM's. They work well for me even at high currents. make sure the pull force of the screw is pulling the PEM into the board and not the other way round.