Ian,
Further to Bob's post ,collet chucks that fit on a backplate can also be more accurate than those with a built in thread.
The accuracy depends on the chuck having a snug fit on the spindle register, the thread serves to draw the chuck onto this. With a ready made threaded chuck the register may not be the required fit. However, as the backplate will be machined on the lathe itself to fit the back of the collet chuck, concentricity should be guaranteed.
However, if you just want to try it out, get MT3 collets to suit the size of your milling cutters and make yourself a drawbar to pull them in to the taper. Cheapest option while you decide if you need ER collets, and if so which size.
Edited By Robbo on 26/12/2014 10:34:40