You don't use a chuck with collets. The collets are held in the spindle by the draw bar and you need to have a thread protector on the spindle threads to prevent damage to the spindle threads.
As others have said there is no need to thread away from the headstock. When I started I used pvc pipe to practice on. Didn't take long to get the process down. Maybe an hour at most.
IMHO Mr Pete, aka Tubalcain, is the best source on the web for a beginning hobby machinist. He is a retired high school shop teacher. You could start with his beginning videos doing and making what he says and by the time you get through the first couple of hundred of his videos you will be well on your way. There are lots of other good videos by very knowledgeable people. But they are random helpful tips on how to do things. Mr. Pete starts from square one and leads you down the path. He is still my go to source to brush up on things whenever I run into a problem.