I had just done some minor research on brass for work. Leaded brass is available. It's got an exception in Europes RoHS (Reduction of Hazardous Substances) to 3% or 4% max. I think it was Alloy 360 that was the free cutting leaded stuff. Alloy 260 (I think) is Cartridge Brass and is pretty much copper / tin (again "I think", going by memory here). I actually found the leaded brass to be cheaper than the non-leaded stuff at McMaster-Carr, kind of indicates market demand, ease of manufacture, etc. to me.
I've found brass to work OK. Threading the outside of any rod is a pain. The main trick is to start the die true to the centerline of the rod. I'll usually chuck the rod in a lathe, then use the tailstock to press the die to the rod (truing up the centerlines in the process), then (with the lathe in "freewheel") hand-turn the lathe to start the threading. After starting the threads true, rod usually threads OK. Just lots of lube and back-and-forth turning so the chips don't jam in the die.