I’ve got an identical set. I used one m8 insert from mine. I’ve had it for years now so works great as a prevention set.No, they screw in to an existing thread (often a damaged one).
I used one on my Jacob's chuck on my lathe. The threaded morse taper was 10mm, but I couldn't get a 10mm rod through the tailstock so had to use an 8mm one. They have an end bent across the diameter at the end which the insertion tool (screwdriver in my case) fits, which breaks off when the helicoil is in place. You can see it in the picture.
I guaranteed that never again will I need one - I bought a set.
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