Locate the shaft lock on your Dremel tool. Look for a small button near the base of the shaft. Depress or slide the button, depending on the model. Turn the shaft slowly by hand until it locks in place and will no longer turn.
Hold the shaft lock button with one hand while using a collet wrench or other small wrench to loosen the collet nut. Turn the nut counterclockwise until it can be removed from the shaft. Set the nut aside.
Remove the collet that is currently inserted in the hollow shaft opening. Replace the old collet with a new collet of your choice by inserting it into the shaft opening.
Place the collet nut over the new collet and thread it onto the shaft. Insert the rotary bit of your choice into the mouth of the collet. While holding the shaft lock button, tighten the collet nut with a wrench.
Check to make sure the collet is holding the bit securely. Release the shaft lock button. The rotary tool can now be operated normally.