Learn Portuguese (Portugal): Deves colocar o parafuso aqui e depois podes aparafusar. - You must place the screw here and then you can screw it in.

This is the "Inanimate Null Object" at work. In European Portuguese, when an inanimate direct object (like o parafuso) has just been mentioned, it is very common to simply drop it in the following clause rather than using a pronoun. Saying ...e depois podes aparafusar is perfectly complete and sounds much more natural in everyday speech than forcing a pronoun.

Would it be grammatically wrong to say aparafusá-lo to explicitly mean "screw it in"?

It wouldn't be grammatically wrong! You can absolutely say e depois podes aparafusá-lo. However, at the B2 level, it's important to recognize that spoken European Portuguese strongly prefers dropping the pronoun for inanimate things. Using aparafusá-lo here might sound a bit formal or literary for a simple, practical instruction.

I notice parafuso (screw) and aparafusar (to screw in) are very similar. Is adding "a-" and "-ar" a common way to make verbs from nouns?

Yes, it is! Portuguese frequently creates verbs by taking a noun and wrapping it in an a- prefix and an -ar suffix (a process called parasynthetic derivation). Other everyday examples include joelho (knee) becoming ajoelhar (to kneel), or terra (land) becoming aterrar (to land).

Could I use pôr instead of colocar in this sentence?