ER collets have the greatest crush range of any relevant system at around .040 inches. Most drawbar collets have very small crush ranges on the order of .003 to .005 inches. The sets are usually fine for most people because they're typically designed for tool holding and tools are typically standard sizes. (ER collets were designed for tool holding also which is why they need the work buried in the collet to work properly.) For work holding on a wood lathe, ER 32 or ER40 is probably the way to go and I'd bite the bullet and buy high quality, metric collets to cover the ranges I need.
Now, if I had a metal lathe of sufficient size, I'd go 5C with a lever closer. They have a small crush range and the collets aren't cheap, but they are designed for work holding, are very accurate and with a lever closer, they're fast.