<p>Does anyone know where I can get a free 3D design (STEP or STL) of an M4 Screw and nut? I have found only an M3 on Thingiverse: <a href="http://www.thingiverse.com/thing:729842" rel="nofollow noreferrer">M3 Bolt</a> by <a href="http://www.thingiverse.com/Kaleta" rel="nofollow noreferrer">Kaleta</a>.</p>

The thing you linked to describes itself as being generated from a parametric model:
http://www.thingiverse.com/apps/customizer/run?thing_id=193647
To generate any different bolt or nut, you will need to identify the correct dimensions for not only the thread (where hints exist in the customiser), but also for the hex head. These are obviously less critical to define than the thread.
Once you have generated a custom model, you can share it and answer your own question.