Collets are normally supplied hardened. However, some collets can be bought unhardened. These are often known as emergency collets. These collets are machined to fit the holder but the bore is left solid. This is so the user can machine the collet in situ to hold a special size or shape of work. The emergency collets may, or may not, be slit. The 5C emergency collets sold by Arc are slit and supplied with pins to hold the fingers apart during machining. On the other hand I have several emergency collets for my Pultra lathe where the nose is unmachined and the collet is unslit.
Chris: As an aside your post about WW collets implies you're in Cambridge? If so I'm close to Cambridge, out to the west, so youre welcome to visit and rabbit about machining. PM me if interested.
Andrew