If you have a MT4 spindle then you can get MT4 end mill holders.
A set for $115 - http://www.shars.com/products/view/1...et_4MT_381quot
or search around their website - the have them in individual sizes too for ~ $13 to $24 each (be sure to get the ones for a draw bar - not the tang end)
I'm sure there are other vendors too..
As you mentioned you could get an ER collet set too, but I like the individual holders as its easier to swap in a mounted tool than to loosen the collet nut, remove the tool, remove the nut and collet, the install the new collet, replace the nut.....you get the idea....mind you I have a NMTB30 spindle so the tool holders come out pretty easy.
http://www.shars.com/products/view/2..._Collet_Holder for the collet chuck....
As for a draw bar - make your own. The loads on the draw bar are pretty low. Use a piece of threaded rod (from your local hardware store) and put a pair of nuts on it at the end. Use a bit of locktite to help hold them in place and your good to go.
Those collets that came with your machine are a "Chinese special". I've dug around a lot looking for the spec for those (or similar - came on an MT3 spindle machine) and its really obscure - a mix between an ER collet and ???. If I can rediscover what I found out about them I'll post it but I remember giving up finding them from an on line / non OEM source.