It depends on what kind of equipment you have and the size of rod that you are threading but there are a lot ot tricks that can be used. The main thing is that the die must be dead square as it starts to cut the threads.
One thing that works is to clamp the die and handle to the table of a drill press and (with the machine unplugged) put the rod into the chuck and while putting a bit of down preassure on the feed handle turn the spindle by hand to cut the threads. A pin punch in one of the key holes can be used to do the turning.