That style of R8 end mill holder, often called Weldon tool holders after a prominent maker, are recommended for heavy and important work. However, if you are having a lot of trouble with slipping collets, check out your drawbar to make sure that the threads not bottoming out in the collet or are galled and sticking in the collet. Sometimes a flat washer or two (or other spacer) slipped on the drawbar before installing it in the spindle (to make it effectively shorter) is all that is needed to improve the tightening. Worn out drawbars are a PITA, just replace them. You can make one or buy one. A quality one, properly made from good steel, will keep you happy a lot longer than purchasing a cheap import one. If only one or two collets give you trouble, try chasing the threads in the collet. Watch out, the collets are hardened. A drawbar should screw in effortlessly with fingers only until it begins to tighten the collet. If not, chase the drawbar threads.I was struggling with my end mills moving or pulling/pushing inside the R8 collets.
These R8 Collets with set screws are perfect. In my recent experience, they are rock solid.
I bought 4 common sizes to facilitate my common end mills.
Highly recommended.