Shawn,
If you want a bit of wood collet advice, here's what worked best for me.
Start with a piece of hardwood - something that is hard, but still elastic. I used teak, but that is just because I have a box-full of it. Turn it round, to 3/4" or so. Cut slots on one end or both, as alamocdc has shown. Use a bandsaw, or other very thin kerf blade. Mount the cut dowel in your chuck, and put an alignment mark on it. That makes it easier to get repeatable concentricity. Tighten the chuck jaws so that the cut end closes tightly. Now put a 1/4" drill bit in your tailstock and drill through the dowel. If you have a center-bit, use it to start the hole. If not, just try to keep the bit from wandering.
A .308 (30 cal) diameter bullet needs a 5/16" collet. After drilling to 1/4" and opening the chuck jaws, the hole should open up to about 5/16. Now you can insert the bullet, snug up the chuck, and you'll get a nice, firm concentric grip on the bullet.
Good luck,
Eric