Various other web forums recommend annealing the ends of ballscrews to make them soft enough to machine, but I didn't really fancy that (and I was not convinced I wouldn't soften off bits that needed to stay hard).
Instead I got a CBN (Cubic Boron Nitride) tipped insert for my indexable lathe tool, and it cuts hardened ballscrew material just like carbide cuts EN24T. It is basically a carbide insert with a brazed-on tip made of (apparently) the second hardest known material.
http://www.cromwell.co.uk/static/publication/485/pages/349.pdf
Not cheap at £30, but that was for a twin-tipped insert and it looks like it will last a long time and be useful for other jobs in the future. I rather suspect that this is how the pros do it, maybe Kevin can confirm.
I cut the thread on the end with an ordinary HSS tool, as the ballscrew core is relatively soft.