Hi Mark,
Years ago I bought the Beall ER-32 collet chuck for my Southbend 9" lathe and I would call it a great investment; a little expensive up front, but great quality and at the time I would never have considered making one.
I use the collets way more often than either chuck. If I was doing it again now (with many more hours of using the lathe) I would consider making my own. However, I would NEVER give-up the 3/4" thru hole ability in the headstock. It is much too useful.
One suggestion is to make the body out of either square or hex stock, then you can use it off the lathe as a collet block in the mill vise.
@mattthemuppet made one here:
http://www.hobby-machinist.com/threads/er25-collet-chuck-for-atlas-618.41636/
Please share your build! I always get useful info from your shared projects.
Thanks,
-brino