I have been tempted to try to make my own collets,
If you do not have a lathe this will be kind of difficult. What I do
is chuck the material and duplicate the angles set by the factory for
the collet profile. First thing to do is drill the hole you want,
then shape the material. Do this in one setting it keeps every thing
on center. Part off your rough stock. You can chuck a metal blade
(available from Enco) in your lathe, and mount your piece to your
tool holder. I use an octagon shaped holder to retain my piece and
center your work to the center of your blade and use your cross feed
adjustment to turn the work into the blade.
After you have made your 3 cuts, remove the piece, trim to length
and go over it with sand paper or wet-n-dry to buff out the burrs. I
use a round file down the throat to get those out.
On your hole down the center, use a drill big enough for the part to
fit a little loose, like about 0.003 to 5 over. If you make it tight,
it will always be tight and difficult to remove your cutters later
when it gets warm during use.
I use one of the Harbor Freight lathes, the 9X20 but the little
lathe would work just as well for this. (I think it is a 4X12 or
something like that.)
If you jig a grinder you could probably do the same thing and use a
drill press to run the blade and free hand the cuts using a pattern
makers vice. I would still use the octagon shaped holder though.