I made one for my lathe. It uses the external threads of the collet and I set it up with a spider on the outboard end to help support 7/8 rod when I'm making dies and bolt knobs. The spider comes in handy to hold my home made nozzle for pumping oil through dies while I'm reaming them too.
I can post a few pics some time if you'd like to see it. They are simple to make, at least it was for my lathe.