You will more than likely have to change your fork to put a threadless stem on it. What kind of bike do you have? Normally threaded forks required threaded headsets which thread into the top of the fork steerer tube. The stem (quill style i assume) inserts into the steerer tube not around it like a threadless stem. Hopefully that makes sense.
Good call, i completely forgot about the quill stem adapters. That would be the cheapest route to go but not sure how good it would work on a BMX bike.