Are you using the standard little red disks, the fiberglass reinforced, or the metal? I think they're all called "reinforced". It does take some practice to not waste disks, the first time I tried ...
Have you tried the heavy duty fiber reinforced disks? Another thing you might be doing is putting some undue pressure on the disk causing it to bind up and shatter.
A Dremel is a fantastically handy tool to have around the workbench, but there is one glaring and obvious downside: you will always run out of cut-off discs. if you’re trying to break into a fancy ...
Dremel’s 4000 is the company's most powerful corded rotary tool. As with Dremel’s 300-series, Dremel’s reputation precedes it, as Dremel rotary tools are by far the favourites among PC modders and DIY ...