Don't!!! If your steer tube does not have a keyway, it probably isn't English threaded (maybe it's obsolete French threaded?)

Also, cutting threads or a keyway into a steerer is a very dicey affair. You would need precision machining equipment to do this procedure, and you might weaken the steer tube. You don't want to break your steer tube. That's about the worst failure mode possible for a bicycle. I suggest never making any modification of a steer tube from its factory condition.