You will have lots of prior examples to give you guidance on the matter.  Many, many cultures use spears with interchangeable foreshafts socketed into a more permanent main shaft.   Paleoarts posted pictures of some of his magic recently when he worked on a socketed spear.  In truth, his advice would be much greater than anything I have to say.

But I don't think having a literal screw joint would be a good idea.  Finding a tapping screw to put the inside threads on the socket would be easy enough, though expensive if you have to buy the tapping screw.  Putting the outside threads on that which is to be socketed would be extremely hard if you don't have access a lathe geared and timed to cut threads.  You would be reduced to filing the threads out by hand, and good luck getting the two even enough to mate properly. 

You would need to use a very dense crossgrain wood if the threads are to last, not the best stuff for a spear, but great for hand carving.  Also, the grooves of the threads would encourage the wood to split when stressed.  In my untried opinion, you would be better off with a simple friction joint.