Interesting thread!
I use catch-in-focus quite a lot, and there appear to be a number of misunderstandings here.
You need to enable 'catch-in-focus' in the custom menu. That's item 34 on my K20D.
You can use it on any lens, fully manual or M42. You can also use it on a regular PK Adaptall-2 adapter, or even a cheapo ebay Chinese PK Adaptall-2 adapter that's missing the aperture linkage. You don't need a PKA one. But see the next point about electrically conductive mounts.
The lens must have an electrically conductive base to short the camera contacts. You MUST short the contacts for catch-in-focus to work. Many M42 lenses, including Takumars, are painted in a non-conductive black paint, so you'll need to scrape some paint off, or apply a bit of metallic tape, in the correct location. The tape method is reversible, but gets messy after a while and will need to be replaced. I went for the permanent scraped paint method, on several Takumars and a couple of eBay Chinese Adaptall-2 mounts (the black ones).
IMPORTANT: if you have 'AF by press halfway' disabled in your custom menu (item 14 on my K20D) then catch-in-focus will NOT work, UNLESS you are also pressing the AF button when the green hexagon lights up.