HSS = High Speed Steel
This is the normal tool steel that drills, taps, dies, boring and cutting tools are usually made of. Unless they are carbide, or oxide coated like modern drills that are yellow-bronze color, I'm not sure if those are still HSS under the coating or not.
I threaded my stainless rods with a Vermont American die from Orchard Supply Hardware. It is not a very good die and it was not an easy job, but it got it done. If you can find a higher quality die, it will be worth it. See if you can find a machine tool supplier in your area.