-Use a high-quality(expensive) die.
-if the strength of the fastener is not critical, consider tap drilling 1 or 2 sizes(assuming you are using number drills) larger than recommended.
-Use a lubricant on the die-and keep replenishing it as it drips off. The best stuff I have used is from Brownell's, the gunsmithing supply house, and is called Do-Drill:http://www.brownells.com/.aspx/sid=4005/sku/16_oz__DO_DRILL_reg_
It used to be available in a small bottle with a dropper, but is now available in pints as teh smallest size. A bargain for the price, though.
Edited to add: Rudi, another tip, is that you want to get the die started onto the rod straight-this is easier if you can slightly taper the end of teh rod, or if you have a lathe or a drill press. If you had a lathe, you probably wouldn't be asking teh question-so how long is the rod you need to work on? Can you chuck it in a drill press, and hold teh die in a die wrench on teh drill press table, then bring the rod down to the die, using the drill press feed, while turning the die?
I would bet that any good sulfur-containing cutting oil will work really well for threading with a die.