@ Easy_E. Collets are only designed to collapse so much then you ruin them, er collets will collapse .040ish because their designed too- 5, R8 and DA collets not so much, I doubt you could clamp a .250 R8 and be happy when you were done, a 6mm R8 might get it done but it is 1 thou undersize... I would recommend a R8 er collet holder they are cheap enough and run out is nice even on cheaper Asian collets and it gives you the advantage of precisely holding small cutters and bits with minimal gauge length
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https://www.shars.com/catalogsearch/result/?cat_id=1921&q=202-1404
The holder #5 on this toolcart has the TiN coated Mori 3 flute in a er holder "choked up" enough to just cut the pocket I needed
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When I am not cutting something to nasty on the lungs or abrasive for the machine I like to use a air line hooked up to a mag base to use air as coolant if I am not using liquid coolant...