I concur with LeeG's answer. Put the whole thing through and use another piece of wood through the thread as a stop.
If you don't seal the handle in the head then you could use it with multiple heads if you so desired. If you wanted to make the handle something more that just stick with threads then not glue would be preferential. Say if you were to turn one and put a grip on it? Then you wouldn't need to make a bunch. Or if your head broke you can reuse the handle.
Glue could weaken
While this would take time, actually using the mallet, could weaken the glue joint. I have seen this happen with shop brooms. Since you are threading it I would see this process taking a while but I suspect it will happen. Using a stop like a piece of dowel wouldn't be a bad idea.
Perhaps you could do both. Might be overkill for just a mallet though. I guess I'm suggesting it is wasted effort to glue it. If the glue did break the seal the mallet could move while you are using it.
Another useful point would be if you get tapping happy then you could use the same handle for multiple tools.
Mine is just an old croquet mallet that I adjust periodically with wedges as it moves.