If you want steel collets to hold square material, it's beginning to sound the usual, one job begetting a load of others.
1) I want a square collet, so make an ER collet in steel with a bore just smaller than the square.
2) Make up a rotary broaching tool
3) Rotary broach the collet so that the bore then becomes square, (or what ever shape is needed).
Of course, 2 is going to spawn some other jobs, no doubt . Shades of "Dear Liza, there's a hole in my bucket"
At least you should end up with a load of rotary broaches of various shapes and sizes! Which will need storage making and a place found for it. See what Ii mean?
Howard