A method forms a concave constituting a ball return passage directly on an inner circumferential surface of a nut blank by plastic working without damaging a die. Letter S shaped concaves are formed on an inner circumferential surface of a nut blank, by pressing by use of a die having a blank holder, a cam driver, cam sliders, and a cylindrical member. The cam driver has inclined surfaces having the same angle of inclination as the cam sliders. The cam sliders have letter S shaped convexes corresponding to the letter S shaped concaves, and are held by through holes, respectively. When the cam driver is pressed from the top thereof, the cam sliders move outwardly in the radial direction, respectively, and the letter S shaped convexes push the inner circumferential surface of the nut blank for plastic deformation.