Installing Collets into the nut is a very important part of the process of using a spindle. With traditional spindles they need to be snapped in, and if you turn the nut over they will not fall out if properly installed. 

In this video Clinton demonstrates the proper installation of a collet into a nut on a traditional spindle. If you have an ATC spindle, this does not apply to you, and the video below it does. 

ATC Spindle Collet installation instructions are provided here by Chris. Unlike a traditional spindle, the collet does NOT snap in and a bit needs to be installed before tightening down the nut. The traditional spindle nuts do not work on the ATC ISO20 Tool Holders.