Reddit reviews Collet Set, 2MT, Set of 7

I'm using this one:
https://www.woodturnerscatalog.com/p/101/4400/Apprentice-Collet-Chuck-7-Piece-Set

I think the Beal might be slightly nicer, but have no complaints about the Apprentice. Both use ER32 compatible collet inserts so you have a huge range of options if you want to buy more specific ones for special things. I also know some folks who went straight to the machinists ER32 collet holders which can be cheaper but most of the holders for those are MT2 with a drawbar which precludes putting long skinny things through them into the headstock.. and it was easy to find a woodturners version that fit my lathe :)

A picture and an coherent explanation on the custom sized insert is worth a million other words so I'll point over at David Reed Smiths article on knitting needles and collet chuck inserts: http://www.davidreedsmith.com/articles/knittingneedles/knitting_needles.htm

Scroll down in there to the bit about the "one-slit sub-collet" for details. I might well have even gotten the idea from there (his website is a wealth of interesting ideas). I haven't used these in the scroll chuck, but I think they should work reasonably well if you're careful where you align the slit.

I haven't used a pin chuck (I assume you mean one kind of like this https://youtu.be/XEwEG_sYGFU?t=146 - not the "pin chuck" used for holding tiny drill bits - which I have used quite a bit). That looks super handy for things you want to turn with inside openings that are large enough to register in a stable fashion (I don't think I'd use it for things a lot bigger around than they are thick maybe? have to try it..). I've used a tapered peg held <various ways> in the headstock to as sort of a jam-it-on-there holder which works pretty well with a light hand. The trick with those is to have just barely enough taper to matter to get a good grip.

I've also picked up some MT2 collets - akin to these https://www.amazon.com/Collet-Set-2MT-7/dp/B002YPFSEM (although I've only bought a couple of onsies that I found cheap). They're pretty handy for really small stuff and are best used with a drawbar through the headstock to pull them closed (you can easily make the drawbar out of some appropriately sized all-thread).

For fitting an MT2 taper the critical thing is that you have good front and back contact so it's better if the taper is a bit concave than convex. The fellow who gave me the idea is John K Jordan (the "other" John Jordan as he notes.. heh) who uses a brass gauge with a U at each side matching the major and minor diameters he wants plus marks for the length, part each side to where the gauge slips over, then remove the middle. A slightly dubious looking but seemingly fine URL that has a PDF of his class describing this is at: http://nebula.wsimg.com/036285412d6ef72ec47c952e88ecf282?AccessKeyId=8E1EC0DC707F1FE36FCB&disposition=0&alloworigin=1

I don't think I'd use the MT2 trick for these pegs though, because you want the sides of the tenons to be straight/parallel to get them to glue nicely into whatever you're putting them into... unless of course you bought an MT2 taper reamer and reamed the holes to match.. but even then getting the sizing right would be a lot trickier than just a straight tenon.