A bushing (50) has an externally threaded portion (52) with a thread pitch P1. A collet body (20) has an internally threaded portion (31) with a thread pitch P2, which is smaller than P1 by a pitch differential, ΔP. To assembly the bushing (50) and collet body (20), the collet body is heated relative to the bushing to reduce the ΔP. The threaded portions (52, 31) of the bushing and collet body are then threadingly engaged with each other. The temperature of the bushing (50) and collet body (20) are then equalized, which tends to increase the ΔP, which causes the threaded portions (52, 31) to bind with each other and resist relative loosening rotation. The threaded portions (52, 31) may additionally/alternatively be reverse tapered and/or include variable thread pitches that cause the threaded portions to further bind with each other.