It’s relatively simple to create a helical swept cut in SolidWorks. Create the helix, the profile, and then the swept cut. If the swept cut doesn’t pass the entire length of the body, though, you’ll get a flat end that doesn’t really represent the geometry you’d find in a drill bit, screw, or bolt. You can use a variety of tools to solve this problem after the fact, but adding some sort of swept cut or lofted cut is superfluous, when you can simply use a variable pitch helix.
The basic method is to vary the radius and pitch of the helix such that, your cutting profile will transition from outside of your part to the body it is cutting, as opposed to just stopping abruptly on the body that you are trying to cut. This is easier to visualize when you can see this method put into practice, so check out the video below for a full tutorial: