Over the years I have made several pin chucks like the one Skippy invented a few years ago.
http://content.penturners.org/library/tools_and_jigs/pinchuck.pdf
I recently needed another diameter and wanted to make a few modifications. Rather than filing a flat, I decided to mill a slot to fit the rubber O-ring and also got tired of losing the O-ring. For this one I drill a hole in the end to fit the cut O-ring and milled a deeper slot near the end that went through to the hole. Then I could thread the O-ring through the holes, tie a knot on the end and it stays in place.
http://content.penturners.org/library/tools_and_jigs/pinchuck.pdf
I recently needed another diameter and wanted to make a few modifications. Rather than filing a flat, I decided to mill a slot to fit the rubber O-ring and also got tired of losing the O-ring. For this one I drill a hole in the end to fit the cut O-ring and milled a deeper slot near the end that went through to the hole. Then I could thread the O-ring through the holes, tie a knot on the end and it stays in place.