Collet Set...

There can be some variation in the retaining ring in ER nuts, with some the collet snaps in easily, others it takes a bit more juggling. But the collet must be snapped into the nut and then inserted into the holder. If you were to put a larger end mill and expand the collet with it not snapped into the retaining ring, it will most likely not seat correctly. The directions are very specific on how to use the ER system correctly, which also includes torquing to the correct value and keeping the collet oil free.

If there is an issue with inserting sharp end mills, then wrap it in a cloth rag and then inset it. I always put a rag or towel under the end mill when loosing the collet nut, especially if it is an undersized end mill (relative to the collet size). The end mills will chip very easily if they fall out and hit the vise/table. Although there is a theoretical clamping range for the ER collets, in my experience I have had problems using something like a metric collet to hold an imperial sized end mill and visa versa.
 
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