I bought some 6mm burrs on a 3mm shank.

I also have a Silverline rotary tool:

http://www.silverlinetools.com/en-GB...i-Tools/249765

I find the burr walks out and I can't seem to tighten up the collets
sufficiently to make it stay in place for a decent length of time.

Is there an alternative system that doesn't have this problem?

Perhaps thread/bearing lock compound?

--
Mike Perkins
Video Solutions Ltd
www.videosolutions.ltd.uk