There are three drive screws needed (one for X, one for Y and one for Z-axis). I used 1/4-20 threaded rod from Home Depot. Make sure to get them long enough - and keep them a bit long until you are 110% sure your design is set. Threaded rod is easier to make shorter than it is to make longer.
I finished the ends of all the drive screws the same way - with two nuts turned into each other. The second nut is referred to as a " jam-nut". This locks the two nuts in place very effectively. Notice the bearing is always towards the "inside" of the two nuts.
The bearing is a R4ZZ (1/4"x5/8"x0.196" Shielded) from VXB Bearings. 10 bearings for about $15.
Where I mounted the bearings, I used a 5/8" Forstner bit to bore a hole just deep enough to hold most of the bearing. Then I finished by drilling a 1/4" hole for the drive screw. It's a little difficult to see in the drawing, but the photo shows the double-nut arrangement and the bearing is counter-bored almost completely into the plywood. (this is the end of my Y-Axis drive screw). Sometimes I used a washer between the nut and the bearing, but It didn't seem to make any difference so I ended-up going without a washer.
A trick to remember when cutting the all-thread: Put a nut onto the bar before you cut the threaded rod. Cut the rod and file the end to clean off the burs & junk. Then, by taking off the nut, you will clean-up the threads (somewhat) where you cut them. Not perfect, but better than nothing!