Yeah, the taper on step bits doesn't mean much on thin stuff and they suck for thick stuff.
Works better then a hole saw though.
IIRC I also ordered a standard screw type arbor from McMaster for those McMaster wheels.
Will look around later and see if I can find it...
The quick change deal is nice on those Dremel arbors but my last McMaster wheel has done a bunch of amp builds and is still going strong.