1.5 degree tapered threads on coupling and nuts enable the coupling to lock onto the shafts.

Stepper Shaft Diameter: 5 mm with flat
Shaft Diameter: 8 mm
Overall length: 25 mm

I have not installed this in an application, I just created it to see if I could get PLA to grab tight enough to a round shaft. It grips very well. The key component is the PTFE tape applied to the threads. This tape drastically reduces the friction between the nut and coupling threads.

8/17/13 UPDATE:
Per request, I have uploaded the source Autodesk Inventor files. These files are all contained in the file DoubleScrewCoupling.zip. There are five files related to the coupling and five related to the nut.

COUPLING: DoubleScrewCoupling_8x5.iam, DoubleScrewCoupling.ipt, DoubleScrews.iam, TaperedThreadShort.ipt, TaperedThread.ipt.
NUT: TaperedNut.iam, TaperNut.ipt, TaperNutScrew.iam, TaperNutBase.ipt, TaperedThread.ipt.

Increasing the thread clearance for the nut requires changing the FLUSH constraint from 6.5 mm to a larger value in the TaperedNutScrew.iam model, but that will require modifying TaperNutBase.ipt so the overall length is greater as well.

• Sliced @ 0.1 mm, 100% fill, 0.4 mm nozzle
• Added "brim" to bottom (Cura 13.06.04) to securely attach to build platform.
• The arrows on the nut point toward the coupling (those threads are tapered as well).
• I printed in PLA.

I recommend "breaking-in" the threads before trying to use the coupling. Add 1 or 2 layers of PTFE tape to the coupling threads and then slowly thread the nuts onto the coupling and work them back-and-forth (without 8 mm shaft or stepper). Don't do this quickly or the threads will heat up and could be damaged. Once the threads are "broken-in", remove the nuts and old PTFE tape and apply new PTFE tape. Remove the old PTFE tape by placing a hobby knife between one of the slots and cutting it from the inside toward the outside.

You can "break-in" the threads without PTFE tape, but you'll need some other lubricant. I used dish soap initially and that seemed to work, but I didn't like the idea of getting anything slick onto the inside surface that will contact with the shaft which would increase the likelihood of the shaft slipping.

Don't try installing the nuts without some method of lubrication because it will destroy the threads.

Note: I used the latest version of Cura (13.06.04) to slice this - wow it is fast! Less than 3 seconds to slice each of the parts.