I like to hold them in a vice and use a wire brsuh on the end of a dril, l find a bench mounted wire brush tends to take your fingers off, then I run a die down it to make sure the threads clean
If you are only doing a few, the wire brush is prolly the quickest way, but if you are doing a whole engine's worth of nuts / bolts then the electrolysis bath is a much better idea (given a big enough bath you can do ALL the parts in one go, and leave it while you work elsewhere).

Also, if you really wanted to, you could do an engine block that way too.
Actually, That just made me think......while we are on the subject of anodizing ally parts, has anyone anodised a mini GEAR BOX CASING??

That might look really good on a show car, for a touch of colour!

Oh, and I just remembered a way to clean up grotty ally parts to clean smooth metal - steep them in a *hot* bath of cheapo BIOLOGICAL washing powder / liquid, the enzymes react with the dirt and loose oxide layer and dissolve it back to clean metal (but does not damage the ally or the protective layer of oxide)

SS