When you snug the 2x up to the wall there is no gap. If the threads
are sunk into both boards, one or the other has to strip out to close
the gap. You don't want that force stripping the threads out of the
hole in wall stud.
Sometimes you get worse, and you can't strip out the threads from
either the wall, or the board, and that's worse.
Lets say you were putting a screw through your 2x4 to the wall, and
that the screw thread caught tightly on both. Also, lets say when you
were doing this, there was a 1mm gap between your board and the wall,
because you weren't holding it just right. You screw the screw in as
far as it goes, but there's still 1mm gap. Picture that you manage to
do one last turn of the screw, the screw moves 1mm further into the
wall -- well, it also moved 1mm further into the board, but because of
this, the board does not get tighter to the wall).
If, on the other hand for some reason the screw thread does not catch
on the board, because you either drilled a shank hole, or because the
screw has no thread for the depth of the board, then turning that
screw an extra turn pulls the board 1mm closer into the wall. This
creates tension and friction between the wall and the board, and that
is where you get your real strength. If you're having trouble
picturing it, fasten two boards to the wall -- one with a shank, and
one without, and hit the top of both boards with a sledge hammer. The
screws will likely break in the one without the shank holes, but
you'll likely just dent the board/wall in the other.
I have not been paying attention- these are horizontal 2x4s, right? To
act as a ledger for the shelves? Or vertical 2x4s to hold brackets? On a
horizontal 2x4, you may wanna go with a wider board, to reduce the lever
action that will dig into the drywall. Back in the stone age, for
closets and utility rooms and such, I always had good luck with a pretty
1x8 band screwed into the studs, and metal brackets screwed into that
wherever needed. Held a 12" shelf, supported by the brackets and the top
edge of the 1x8, heavily loaded, with no problem.
Let's do the math. 2 x 4's are actually 1 1/2" thick some 1 5/8". Drywall
1/2", less an eighth or so for recess. That gives you about an inch of
penetration into the stud that will hold it all. I'd use them.
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