Hello, not sure if I grasp exactly what you are suggesting, but I would advocate for buying holders for such tiny end mills. I was fortunate enough to have them supplied for every size imaginable where I was employed during my machine career so I have a drawer full of all sizes from ( 1/16" to 3/8" ID ) all with 3/8" shanks. They are not pricy to buy, have hardened and ground shanks and they run dead-on. Just something to consider before investing too much time in making one ( or more ) which will not run as perfectly as a purchased item. Luck !
I bought a set of R-8 holders that included 3/16,3/8,1/2,5/8,and 3/4" diameters. I often use small endmills with shanks that are either 3/16" or 1/4" for 1/64 / 7/64 endmills.
There are few sources for 1/4" diameter holders but after reading your reply I did find reasonably priced 1/4" and other sizes on E-bay.
$18.75 for the 1/4" , fair price . Thanks for your reply, I didn't know the holders came in so many sizes, I went buy the sets you usually see advertised.
mike