Hi Ian ,
There is always a way .
(1)
Instead of the collet prepare a chucking bush about 3/4 inch diameter and at least 1 1/2 inch long . Mild steel or quality brass but not common brass or aluminium .
Put in four jaw chuck , centralise and grip reasonably tightly . Drill and bore tapping size for your thread and then ideally screwcut but ok to tap if careful your feed screw thread . Aim for the best fit of feed screw in your resultant threaded hole .
Pre make a lock nut wth your feed screw thread in it .
Enter the feed screw into your threaded bush and lock in place with the locknut .
After that proceed as for collet method .
(2) If you think that feed screw O/D is accurate enough to grip by then make a plain chucking bush for three jaw chuck . This is a plain bush with about 3/32 inch wall and bored or reamed to take feed screw with a very close fit . Once in slight further tightening of jaws will distort bush and grip screw . This won't work properly if screw is initially a poor fit in bush .
After that proceed as for collet method .
Michael Williams .