I finally got it. It is extremely, extremely difficult. This is after removing the set screw in the center by turning it CLOCKWISE. Then, if the teeth of the chuck are not gripping, like as in my case, you will not be able to clamp onto a large allen wrench to knock it loose like they show in the directions. You will have to, very carefully, cut off the chuck housing being careful not to damage the threads on the shaft, as this is where your new chuck threads onto. Thanks.
JC, December 2010