Hi Philip, I did consider threading the collets and I would have made one if I needed lots of different lengths of screws.
However I needed a couple of dozen of the same length (3.5mm + 4.5mm) so I made collets to suit. I opened the holes with watchmakers broaches so it's a nice snug fit.
The holes in the front plate are witness holes. The plate is made from 1/32 ground flat stock with the centre hole bored (4mm) with the whole thing assembled to ensure it's true. I then hardened and tempered it and the holes make sure it goes back on the same.
The body was made fro an old M4 thumbscrew drilled and M6 tapped and the shaft is a sawn off M6 bolt.
It is a treat to use in the watchmakers lathe. It takes no time to saw to length then round and polish screw ends pre-blueing.
I'll make more collets as I need them – again take minutes to make with a hand graver.
Steve