The piece you are wondering about is called a key stud:
You can purchase one at any music store that carries drum gear or you can go to the major online outlets to find one. If the threads are stripped on the key stud, check the hole the key stud threads into before you try to thread a new one into it. Debris in the threaded hole may have caused the initial problem and forced the key stud to be cross threaded and evenually leading to be stripped completely.
If it's the Iron Cobra pedal that you have, here is the area in question. There is a sleeve that can slip out of the beater holder and a little dab of JB weld may help hold the sleeve in place.
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