I'm cutting carbon fiber underwater, and needed a shroud to keep the polluted liquids from spilling everywhere. I've seen MrGibbon's shroud and thought that it was a very ingenious idea, so I've adapted the concept to my 55mm spindle and used the PCO1881 specs - found through this blog article - for the threading.
The fit is deliberately sluggish to avoid damaging the flange with repeated insert-remove cycles: this model is meant to stay attached to your spindle, and when fully screwing in the bottle's top it will tighten itself against the threads.
OnShape document source
Cut the top part of a plastic bottle (usually the less rigid, the better) and use various strips of some flexible material to create the final part of the shroud.
I've used some non-adhesive rubber strips commonly used for sealing and stapled them on the plastic at the top and between them at the bottom, thus creating a flexible cushion.
Measurements of both the bottle's section and the length of the strips depend on the average deph that you want to cut: make the shroud too short and it won't stop spills, make it too long and it could push the outer strips against the bit, crash the plastic or even stall your Z axis' motor if you've used some really stiff plastic.