Normally one would consider the tensile strength of the screw and the the tensile strength of the 'nut' to determine the necessary thread engagemment.
These are considered so that you can ensure that the screw fails in tension before the thread fails i.e. leaving you with a hole and no threads left in it. In your case, there's no way to know the tensile strength of the 'nut' which is the cast iron of the machine. So you can't do the math here.
But threads in cast iron ususally run pretty deep, four or more times the screw diameter. This is because the tensile strength of cast iron is low compared to that of the steel screw. Since you have only 5/32" of thickness, the thread won't even be 1x the screw diameter in length. If you thread the cast iron, it's going to be a pretty weak thread.
If you feel that you must drill holes in your saw then a nut seems to be the better choice.
But, either way creates a stress riser in a cast iron member that is supporting a tensioned band saw blade. This is sort of like drilling a hole in a c-clamp (although the forces are acting in opposite directions). Either way, if it were my saw, I wouldn't put any holes in it at all.