Hey,
What kind of collar do I use for a hex shaft?
Calculate the distance from opposite angles by diameter/ sqrt(3) * 2. Find the nearest size up (ie 7/16" collar for 3/8" hex or 5/8" collar for 1/2" hex).
Alternatively, take out the set screw and broach the shaft collar 
We broached 3/8" shaft collars for 3/8th hex shaft ad it worked great!
If you don’t have enough collars of the right size (We never thought to check for ALUMINIUM collars, steel would have been overkill for our application) you can also take some aluminium rod stock, drill+broach the hex into it, and then file a flat to drill and tap! Worked great for us and get us the lightweight piece we needed. 
We use shaft collars from McMaster. They are definitely overkill but work great.
If you have a lathe and know where you want to put things, an E-clip is also an option in some cases. (This is the route we chose on our ball rollers.)