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.

Mine is threaded into the sleeve. It made it easier to adjust the depth of the firing pin