Although I have a Chinese ripoff of the Zeroit DTI holder (in background
in picture below), it eats up a lot of headroom on the mill and is a
pain to set up.

I made something a bit simpler that works well for small diameter jobs
and is a lot quicker to use.  It consists of a steel plate with a dual
diameter (3/8 & 1/2") stud that goes in my most often mounted collets. 
A strong Alnico magnet was fitted with an adaptor to which the DTI can
be mounted.