I've done them different ways. Threading works fine, but eventually will wear out the plastic threaded part.

I usually run them until they get loose, then JB weld them in.

Depth isn't very critical. I usually run mine a little deep. I've tried quite a few different iterations of the printed portion of the firing pin, and not too much different performance from making changes.

I haven't broke/wore out any of the JB welded firing pins, one has over 1000 rounds easily.