You can screw HDPE together, however it does not hold the thread very long, the thread deteriorates each time you take it apart/put it back together and its generally not the strongest joint. Threaded inserts or barrel bolts will give you a much stronger joint and both can be both cheaply on ebay or the like. Lots of build diaries on here showing those types of fixings. Angle brackets or blocks with the HDPE bolted to or through them is another option. Easy to do and if done with some nice beefy pieces of metal can also give a good strong joint, at the expense of a bit of added weight.
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