I bought a cheap press from Harbor Freight, since I rarely use one and even
then just use it for light duty. The spindle had a slight taper on it, and
the hole in the chuck was also tapered. No threads or keys, just friction.
I pushed the chuck on by hand but it didn't seem to fit tightly, so I put
something under the chuck and used the leverage of the press to force it on
a little tighter. So far it has worked OK for me.
If a chuck isn't staying on, I would check to see if there are
irregularities that prevent it from seating all the way. If these could be
cleaned up then maybe the chuck would fit better. Otherwise I would be
tempted to use loctite.
> It sounds like your problem is that the threads holding the chuck on are
> (maybe because it came form the other side of the world?)
> It should tighten on the spindle as you use it and it seems to be