Combine Subtract Diffrence

To do a Combine you have to have multiple bodies and combine them. If you want your nut to have the exact contour of the bolt you have some options.

1. Insert>Part (find your bolt file and place it into your nut part.) move the bolt as desired by any series of Insert>Features>Move or Copy Body Combine/Subtract the bolt from the nut.

1. Sketch the threads in the nut part and use a cut feature Insert>Cut and you have a few options. You can do a helix using cut sweep or a cut revolve for a simpler thread.

2. For easier mating in assemblies you can create it using the hole wizzard. this will leave you with a simple looking hole that will have "Cosmetic" threads (these show up in your drawing as drafting standard threads) Then setup a Mate reference to one of the edges where the face of the hole and one of the flat faces meet. Then when you insert it into an assembly it will auto mate itself concentric and coincident to a close by hole saving alot of time screwing around in assemblies with mates.

Regards,

When you created the nut in the SAME part that you created the bolt with threads did you UNCHECK the merge bodies checkbox?

The bigger question is why are you modeling threads because they are terribly hard on performance?