I bought a 1/4" collet and nut from Precise Bits. I went for the middle accuracy (0.2 mil runout). I just measured the runout with a 1/4" Whiteside engraving bit; the needle on the indicator didn't twitch up next to the collet or at 1" away (so ~0.1 mil). I'm very happy with the results. I also decided to use tapered bits instead of straight end mills, as suggested here.