With the tool in place, you will need to home the X, Y, and Z axes.
Don't tighten with too much strength though- this can strip the threads. Use a pair of wrenches to tighten the collet. To insert a tool, insert the collet into the nut, then insert the shaft so that the flutes are exposed while keeping the shaft in the collet at the maximum possible depth. It's important to insert shaft to the proper depth as described in the graphic below. Like every other CNC mill, the Othermill uses collets and collet nuts to attach the end mill to the spindle.