In general ER40 is quite large, I typically use an ER 32 for my mill. when needed as a tool holder, although I do have an ER40 holder for both mill and lathe. There are fundamental differences between ER collets and 5C, but in your application I would think 5C would be preferred. ER collets collapse at both ends, as such they need to hold material along at least 3/4 of the collet length, 5C only clamps at the tip so can hold very short stock (I have held as short as 0.1"). ER collets havea far greater collapsible range, typically 1 mm increments where a 5C is much less and typically requires a 1/64th increment set to cover the full clamping range. The 5C clamping area is much shorter so you can also fit threaded screws through it, I often need to shorten a thread or turn down the threads, doesn't work with ER collets. For smalls I prefer the 5C and use a speed handle on the chuck, alternative would be a collet closure. ER40 I relegate to larger odd size material, where the additional clamping range comes in handy. I have used my ER40 collets on my full size mill for some 1" cutters, but otherwise I find it too cumbersome on the mill and prefer my ER32.
