For rsilvers:
A trick to make your own collet is to chuck up a cylindrical piece of aluminum, and bore out a recess to fit your workpiece, in this case it will be a hole the width and depth to fit your penny.
Then take the cylinder out of the chuck, and cut an "X" (with two slices on the bandsaw) into the end of the cylinder. The cuts should be deep enough to allow the walls of the recess to flex radially under applied pressure. Put a hose clamp around the outside of the cylinder, which will act like a collet closer. When you put the cylinder back into the chuck, make sure it goes back the way it was before removal, in cases where you need to maintain concentricity. You can also cut an asterisk-shaped pattern by using three cuts on the bandsaw, rotating the cylinder 60 degrees each time. The cuts will intersect in the middle of the cylinder.
I'm not sure if I have explained this clearly. I think I might be making it sound more complicated than it is.
-Jon