Hi Graeme,
The reason the thread is rolled is because it becomes larger in diameter than the spoke. This enables the nipple to go past the unthreaded part of the spoke, allowing for more adjustment as well as containing the shear point at the end of the thread within the nipple. Additionally, the spoke is stronger at the thread because the root diameter has not been reduced, as opposed to normal thread cutting. Hunt around on ebay and see if you can buy a spoke rolling tool. I have one at home and make all my own spokes - very handy.
Pete.