If your collet has lost its tightness from use, or it was not factory adjusted properly, adjusting a collet back to spec is not difficult, and requires a small thin, flat bladed screwdriver.
Insert the thin blade of the screwdriver between the wall of the wand nose and one finger of collet (if a modern US made wand), or near the slot of the collet of an older or non-us made device.
Flex inward approximately 1/2-1 full the thickness of a human hair and check for fit.
Repeat if necessary.