Just thought I'd post the answer to my "bit won't stay in" problem.
The collet did not have the slits in it so tightening the nut did nothing. I spent hours on this and my mom called Sears and spent and hour griping (they couldn't find the record of her buying it on her Sears card even though the miter saw was there which she bought that same day) and she finally got them to let her return it to the store she bought it from and the sales guy dug up one just like mine even though that model had been discontinued. The collet had three thin slits in it and now I am able to rout (sp?).
Thanks to all who replied to me. I don't like Sears stuff but when it's a gift.....
Tim