threads rod / all thread?????
 

Where should I be looking for this stuff??? Need 3mm can't find locally any leads

You might find 3mm rod in a well stocked hardware store( not lowes or Home Depot)... or get on mcmaster-carr.com or do you have a Fastenal locally?

You will probably get standard size thread cheaper and easier than metric. You don't really need it metric if you're threading into plastic, delrin, or any material that is not tapped.