Basically I'd say your approach is probably the simplest, without having to do some quite fiddly machining from solid. I am familiar with the polymorph and that could work OK as described. Re a thread - am thinking, if you could go to inch threads, then a 20 pitch would give you 50 thou per revolution, which divides up nicely - but if you only want to be metric then I guess the 1mm pitch would do just fine - that would divide easily into 1/10s or better (one rev of that would equate to .039").
Ahh yes as has now been mentioned, backlash will be a potential factor. Either split nuts or, some means of applying a permanent spring tension.
Best of luck. Chris.