I just did this a month ago on my 2006 TJ. I think the frame metal is too thin to thread your own holes. Nutserts are the way to go. It is actually very simple (a impact wrench is a GREAT tool to have for this).
You will need the following materials:
(8) 3/8" Nutsert (I ordered them from Fastenal, about $1.00 each)
(8) Star lock washers (use a new one to install each nutsert)
(8) 3/8" x 1 1/2" Bolts
(10) 3/8" Washers
(1) 3/8" x 1 1/4" bolt
(1) 3/8" Nut
(1) tube red Locktite
I used all stainless steel materials (except the nutserts and disposable star lockwashers). Before inserting the nutserts, I put red Locktite around them so they would hold even better. After the nutserts were installed, I sprayed them with hammerite (rust prevention overkill). With the help of an impact driver, it took an hour to install the sidesteps from start to finish.
Here is the thread that helped me figure out how to make and use the homemade "tool" (there is a picture and it takes about one minute to make) to install the nutserts (the materials to do so are included in the above list):
Nutsert for Transfer Case Removal and Install - JeepForum.com
As far as alternative methods for fastening the steps, I can think of two:
1) Weld nuts to the frame and attach the steps to the welded nuts
2) Drill larger holes on the opposite side of each hole already there. The larger holes should be big enough to accommodate a socket allowing you to bolt them on.
The second one was going to be my plab B in case the nutserts didn't work. After one month, I am happy to report they are still holding strong!