Cold-rolled steel, especially the stuff from the hardware store metal rack (if that's what you happen to have) doesn't machine very well, the best you can do. So it may just be the nature of the beast.
A top-quality die, if you don't already have one, will help things considerably. You can order a die from www.mscdirect.com or www.travers.com , to named two reliable online suppliers. A shaft diameter of slightly under 1/2", say 0.490", would help too.
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