A sleeve-like holding member is positioned within the housing of an explosive powder operated gun-like setting device for gripping the fastening element before it is propelled from the housing. The holding member has at least one axially extending slot so that it is radially expandable against its own inherent tension. When a plurality of slots are provided, they are spaced angularly apart and extend from one end toward but short of the other end of the holding member. Adjacent slots extend from different ends of the holding member.