The sun rises, the sky is blue, dogs bark, and threading sheet metal sucks. Fortunately, there are lots of little shortcuts, but most of them require very soft materials, welding, or special installation tools. One type, the captive nut (also known as an insert nut) requires none of the above. An arbor press or a careful hammer blow will do just fine, and they can work with very thin materials.
While captive nuts are not exactly new, they’re surprisingly rare, but McMaster-Carr is an excellent source for these parts. They’re available in most small ANSI inch and ANSI metric thread pitches, and at around $5 for a pack of ten, it’s a small price to pay for not needing to worry about losing track of tiny parts.
Captive Nuts [McMaster-Carr]