P20 die steel is also a good choice. There is P20+S,(Has added Sulphur) is a nominal 30Rc hardness and is a lot easier to drill etc than the regular P20 of the same hardness. The P20 +S comes up quite nice and shiny with sharp cutters, and drills ok, but you need fairly low drilling surface speeds with HSS drills. Around 12 to 15 m/min surface speeds with coolant. Cutting dry or with a dab of oil, then reduce the speed to 8m/min. So a 7mm drill speed with water soluble oil would be in the range of max 650 rpm to 550 rpm wet. Dry with a dab of oil now and then or coolant now and then, I would recommend only 280-350 rpm.
The other choices I would suggest is 4340 or 4140 , or the body of a large capscrew is all good pre hardened stable materials that will last a long time.
They can be drilled and turned on a Taig type lathe. I am not sure about threading on the Taig lathes, as I have not done any thread cutting on my Taig type lathe. I don’t have the threading accessories for it.
Mild steel does also work, but they dont last as long as the harder material ones do.
I have quite a few ER11 holders, made from either M14 capscrew bodies or from P20 Steel. Mine have a 12mm body or an ER20 taper with the ER11 on the front. I set up drills and centre drills and milling cutters in them. So I change the holder with the tool in it already set. I have the slimline castellated nut with the fine thread. The other option is the Hex nut.
On my lathe ER11 adapter, I have an M8x1 thread inside, for part length stops that can be handy to have at times. On the lathe one I made, it has a 16mm shank body. It will fit the MyfordS7 or the Taig lathe 4jaw chuck.
Neil