yep. counterclockwise twist till you hear the click..
hmm... never heard of this trick and i'm having a hard time picturing it. so, instead of twisting the cap/collette clockwise you first twist the cap counterclock wise until you hear a click, then twist clockwise?
::knock on wood:: i'm very careful and have never cross threaded a cap collette...but doing the method above sounds like a safer option.