It is quite possible to hold square material in an ER collet but it's preferable to do so in a split fixture of some kind.
Let's say you want to hold something that is 8mm across the diagonals – then turn a brass piece to a clean (say) 12mm diameter (I have a good quantity of 1/2" material I use for this) and then holding it in a 12mm ER collet – drill the brass to 8mm (or whatever the diagonal is). Remove the fixture and cut a slot right through the length and then two further slots at 120 degrees – but not right through. When tightened in the collet this fixture will hold your square material quite firmly enough for most operations.
The (more time consuming) alternative is to machine two pieces of mild steel (or brass) with slots which are as wide as the material and half the material size in depth. Then using a very carefully centred mandrel made of the square (or rectangular) material – turn the two pieces between centres to a convenient diameter for your ER collet. This will obviously provide a firm grip on the material, preventing any turning movement, should you really need it. However, the first method is generally simpler and will be sufficient for most purposes.
Of course, for most 'one-off' operations, a four jaw is the simplest solution.
Regards,
IanT