This is a single STL file that contains a bolt and a nut. The nut will slide on the screw threads with just gravity. Here is a youtube video on how it works:
https://www.youtube.com/watch?v=o7VBwFYEDuU

If you want a version with separate files, try this : http://www.thingiverse.com/thing:198940

I originally made this to test how small I could get with threads on my 3D Printer. It turned out to be fun to play with so my wife took it to her preschool. The kids loved it.

There is a hole on the top and if you print at 1/2 scale, it makes a good keychain

If you want a version with separate STL files, try this:
http://www.thingiverse.com/thing:198940