The key is to fully engage (clip in) the collet inside the nut before you tighten it onto the holder. When properly seated, your collet face should be flush with the face of the nut - almost press fit into the nut. At that point, you're ready to place your tool into the collet and tighten things into the holder.

The standard series are: ER-8, ER-11, ER-16, ER-20, ER-25, ER-32, ER-40, and ER-50. The "ER" name came from an existing "E" collet (which were a letter series of names) which Rego-Fix modified and appended "R" for "Rego-Fix". The series number is the opening diameter of the tapered receptacle, in millimetres.

It will snap in with a click and should be held captive by the nut. Loosely thread the nut onto the spindle and insert the tool. Ensure tool is seated fully into the collet with most of the shank engaged in the holder. Ensure that none of the chip recess is in the collet bore.

Your first consideration should be the size of end mills or drills you will be using most often. If you are doing smaller work you would require smaller diameter range collets. Generally you may prefer the ER16 and ER32 sizes. ​If you are doing very small work then perhaps an ER11 set would be the best choice.