Hi Lee, Guys,
You can get ball bearing collet nuts, much easier to tighten properly.
One other thing with cheap collets, check them very carefully for burrs and swarf in the slits. I use a Stanley knife blade to make sure that the slits are clean and burr free. It doesn't take much for a loaded cutter to pull down.
I thought that I had posted some pictures showing some of the worst of mine ! After cleaning properly they are fine.




This is the sort of thing that will cause all sorts of problems. If the collet has been used before checking, these bits of swarf will get squashed and be both hard to see and even harder to clean.
Edited to add pictures:
Edited By John Baron on 19/05/2020 14:56:26