A MT4 to R8 adaptor would look wrong, and frequently in engineering what looks wrong probably won't work best.
As KWIL says, there is much more frontal overhang with an adaptor, even if you could get one (and there's probably a reason for the fact you can't), whereas the golden rule is always keep overhang, be it in the spindle, tool holder or whatever, to a minimum.
I can also understand KWIL's comments re using ER collets in the WM18, so just an additional MT4 ER collet holder would be necessary for the lathe.
By coincidence I also have a WM18 with the R8 spindle, and a Myford 254S with spindle bored MT4.
Whilst ER collets do work, they are a compromise by design if you try and use universal ones covering a 1mm range for both metric and imperial, and in contrast the R8 spindle and collets are a great dedicated design.
For my WM18 I have a number of metric and imperial R8 collets in popular sizes, plus an ER40 collet set up to 26mm. I will always go to the R8 collets first, and only if I don't have one in the right size will I resort to the ER collets.
The R8 collets also give slightly less tool overhang, and more throat depth, in the WM18 than ER collets will.
HOWEVER, my biggest issue with using ER collets with a MT4 spindle collet holder in the lathe would be that ideally you would need to use the collet holder with a drawbar, for taper seating security.