Are you working with a lot of things that produce abrasive dust, like cast iron or grinding? If not, you might be worrying more than necessary. As some folks here mentioned, unless your lathe, like mine, uses one lead screw for both gross movement and threading, this may be doubly true. Of course, you are perfectly free to hold whatever concerns you wish. Rather than a guard for the lead screw itself, however, you may be as well (or better) served by making a chip guard that attaches magnetically to your carriage, like
I made here. This design might work well to not only keep chips and swarf off the lead screw, but also off the floor and out of your eyes. Depending on the position of your lead screw, you might need to modify the bottom of the shield a bit.