Due to budget constraints when starting this hobby, :-[ I started with set of affordable MT3 collets (3\8" x 16 TPI draw bar style). Since then, I have acquired MT3 'Endmill' holders that have a set screw.
Case in point (for me) ;D, I got the Hemmingway retracting tool holder 'kit' requiring 2 dovetails, (modified to directly mount to my AXA QCTP) and the dovetail cutter, try as I might
didn't seem to be doing much,
then I realised, the cutter was slipping out of the collet! ???
Since then I have donated my collets more so to my lathe (MT3 spindle as well) to hold drill rod (silver steel?) stock for machining where I want to get "Close and Personal" with the work.
The only time I use collets in my Mill\Drill now, is when 'Jobber' drill bit with drill chuck won't clear the work piece to allow me to insert the drill bit.
So, I guess to answer the original post, yes, I use MT3 collets, 90% to hold stock in my lathe, 10% to hold drills\mills in the mill due to clearance issues.
That's Life
Chazz