When changing bits, one thing you want to avoid is inserting the bit too far into the collet — the radius (fillet) at the point where the cutting head meets the shank may prevent the collet from gripping the shank tightly.

But it's hard to hold the bit and tighten the collet at the same time. So I slip a common rubber O-ring around the shank of the bit, see photo. It holds the bit at the correct height.