Not to be a downer, but threaded options are nonstarters, you’ll be spinning these joints (technically you’re making a gimbal, not a gyroscope), and as you spin it the threads will work in or out of the material. Look for something else.
Also, if you want it to spin freely, then you probably need to consider that too. If you could join them with magnetic spheres, that would be almost ideal, very low friction and easy to assemble in theory.
That being said, gimbals have been made at all sizes for hundreds of years. There’s someone out there who has done this already. The tricky part will be searching for it and not getting too many camera gimbal results.