(takes a big breath)
There are about 10 threads that have discussed this... I own all 3 systems below: - But it boils down to:
Use what you are comfortable with - if you are new, here are some of the tradeoffs:
#1 High quality R8 collets will give you the least runout - minimum number of pieces from the spindle to the cutting tool. Not perfect, they suffer a little from all common North American single spit collets, with regard to holding, that is, the primary squeezing force is in the foremost section of the contact, or let's say 'low
er contact area'
#2 Weldon end mill, holders (as in post #6, above (thanks,
@C-Bag ) are very old school, reliable and transfer more torque than you mill can dish out. They can be hard to find (well, really good ones) and offshore ones can be hit-and-miss. Many new end mills are missing Weldon flats, rendering these holders "not recommended" for those end mills.
#3 Ah, the ER system: this requires and extra layer of parts between the cutter and the machine. *IF* you buy a very high quality adapter, and *IF* you use very high quality collets ($$$), THEN you will have minimal runout, but I'd argue a little more than #1, above. This system is designed to have high contact area. The engineering behind them is wonderful, however, you *must* learn to use them with the correct tightening torque. This can correct any of the problems in the use of them.
[A note from experience: even if you use imperial measurements exclusively DON"T buy an imperial ER collet set. It will skip sizes, and the short tightening range will make for problems gripping reground or mis-ground end mills. The full metric set will cover every single size in that ER range; You might need to post a chart of converting imperial sizes to the correct MM size...] [end of helpful advice]
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The big take away here is to buy
quality. Any of the mill collet systems will do the job (and there are about 20 others not covered here)