OK, so I'll admit I purchased a cheap china made drill chuck. Most everything else I've bought for this hobby has been high quality as it always works out to be cheaper in the long run. However, I'm out of funds and found that I didn't have a drill chuck and needed one. Here's what I got...

China drill chuck

I put it together and mounted it on the machine. Drilled about 20 holes and it worked fine. Swapped the bit for a larger one and was drilling a hole (.25) in a block of 6061 1" deep. When it tried to retract to move to the next hole location, the taper had came loose and the drill bit was still in the hole 1/2" when it tried to move in the Y direction. The bit flexed quite a bit before I got the machine stopped.

So my question is what went wrong? How hard do you need to seat the taper so that it doesn't come loose? Should it be dry when you assemble it?

I'm glad the whole thing didn't fall out when it was rapiding over (at 4000 rpm)