Not sure if you can do it with your machine, but I have used the front of the tailstock quill to get dies on squarely.
See attached pic.
In that pic (grabbed from someone else's site), he's using a collet chuck in the tail stock, rather than the front of the quill. However, the front of the quill should do a good enough job, assuming it's big enough.
WRT the die holder referenced by colin563:
If you can't find one locally, there are plenty of online ideas for making your own.