I guess I accidentally cut a decent Morse taper, so I drilled and reamed the collet holder right in the headstock and it stayed in place (of course, it helps that it was in a soft metal). That hole should be absolute dead center. The collets themselves - hopefully this weekend - I'm planning to do in the four jaw for the rear hole and thread, but the final opening in the front will be done with the collet in the holder in the headstock. I'm gonna do a large one first to fine tune things, 2mm or so, then work my way down to watchmaking levels
I'll post pics and dimensions once I have something resembling success (no measurable run-out on the straightest rod I can find).