As simple as it looks at first glance, this kind of screw is (almost?) impossible to make perfect with Subsurf modeling.
The logical thing to do, is to not use a Subdivision Surface Modifier (make the screw as a separate Object), something simple like this:

This was made from a default Circle (I know, it’s easier to start with a Cylinder…); the number of Vertices influences the width of the slit.
And long live the N-Gons! (I remember the time when N-Gons weren’t yet supported in blender….)