Depends how much money you have to burn. If the forks and stem are OK, then use a quality threaded headset. Stronglight make some good ones using needle bearings, which are cheaper and better than most "trick" headsets. You do need to know your "stack height". A Stronglight X19 is 0-ring sealed and less than $40.

Threadless ones are on balance, better, once you know your riding position, and they can be tightened with a simple allen key.

Trying to fit a threadless stem to a threaded steerer is a waste of time and money.
Changing systems is expensive, you need a new steerer tube and/or fork, stem, headset.