Although you can cut threads on a Sherline (if you buy the attachment), it's not my idea of fun. I would definitely not want to cut threads in steel. In general, you may run into rigidity and chatter problems if you try to use something other than aluminum or brass on a Sherline.
I'd use a slitting saw and spin fixture to cut the collet grooves. You could do that with a hand saw but repeatability might be an issue. I wonder how burrs would affect the performance. Seems to me when you get over 1GHz and look cross eyed at a component you can affect performance (usually adversely).
I'm not saying you can't do it, but making decent repeatable phase adjusters in a decently equipped machine shop would still be a challenge. There's a reason they're expensive.
Personally, I would look for some surplus (unless you really want to get into precision machining - that is not an afternoon's task). Trying to make your own is a much bigger detour from your project goal than you seem to think.
For the record, I do have a decent machine shop and I'd still think long and hard before making my own. Then I'd buy them and get on with my project