Ref: Ballscrew machining

A bit of care and there will be no problems. Rolled screws are softer so
softjaws, a jig or aluminium strips between the jaws and the screw would be a
needed. Ground screws are more or less the same hardness as bearings and
should be fine clamped directly but softjaws would be a good idea.
If the machining isn't a stupid price it may be a good idea to make use of the
service, if they screw up they replace them.
Steel this hard is a bit of a pig to machine, try a few old roller bearings
first if you have never done anything with it. A bit of practice and you
shouldn't need to grind, the turned finish should be accurate with good,
sharp tungsten tooling.
Have a think how you are going to center it, 0.02mm is to much runout and will
bind at the end of the travel with good quality bearings and rigid slides.
The nut should be concentric but turn it and re-test after centering just in
case.
cheers