Start off by hacking off a 1.25" piece of 3/4" hex steel. Clean up the ends and get ready to bore the center hole.
Use a center drill to get things going and then switch to the drill bit.
Drill a pilot hole through the piece.
Now bore the hole to size for the tap you are using.
For the captive nut, hack an allthread coupler in half.
Finished! Oops, I missed a few steps. I was so into building this part that I forgot to take pics!
A closeup of the finished nut.
You can see from the pics that you end up machining the captive nut nut down to fit into the captor nut. The set screw keeps the two together.
The nut is adjusted by turning the captive nut into the captor nut until there is no backlash detected with the dial indicator and then tightening the set screw. If you get it too tight, the nut won't turn, so it takes a few tries to get it perfect. My first mill used this type of nut and after the initial adjustment, I never had to adjust it again. Backlash was 0.0 for the whole system.