Wow. What a completely impractical weapon.
I'd go with pink insulation foam for the core of the material. Working out the head is pretty easy, just a touch of geometry for either a hexagon or a hemisphere. Making a cylinder for the shaft is also pretty easy. If you want to get cute, you can cobble together a simple springpole lathe with some scrap wood, a spring and a bit of cord.
cutting proper threading on the other hand, is pretty difficult. Cutting tight screw threads, like the kind on a wooden bench-vice isn't too hard; you build a simple tool that looks sorta like a manual pencil sharpener. But wide threads like this would be made on a special screw-cutting lathe, which you don't really see every day.
So an additive process is much easier. Your effective goal is to basically have a strip with a cross-section of an equilateral triangle wrapped evenly along the shaft. Since I can't think of many flexible triangular materials, I'd get a length of string with a diameter appropriate to be circumscibed within that triangle cross section. I'd wrap it around the shaft, making sure that the distance between each turn is even and glue it in place. I'd take a card of something rigid, like sheet plastic, and cut a notch into one side the size and shape of the triangle cros section. Then I'd either apply primer followed by autobody filler putty (Bondo), or just paper clay, thinned with a bit of water or alcohol until it has the consistency of cake frosting. Drizzle whatever you use along the string and drag the card along the string. cause a proper screw-thread to be formed behind it.
If this doesn't make sense, track down the How It's Made segment about architectural moldings. They use the same process, only with specialty plaster.
To harden the foam surface, it's probably sufficient to just use a few layers of white glue, but you can use epoxy resin, polyester resin, Plasti-dip, or Smooth-On's Shell Shock if you want to get cute. I love Shell Shock. It's the perfect consistency, no icky fumes, quick cure time, and it's a good durable surface.
Touch up flaws with sandpaper, scuff the surface, prime, paint. If you can find black primer, go with that. Otherwise, paint it black first, followed by painting it metallic. Less is more with metallic paints. Whether or not to apply a clearcoat over top is up to personal perference. It protects the paint job, but it makes the surface appear a little less natural. Do a test on a piece of scrap and see what you think.