Note that, as Dave says above, the screw that holds the chuck on has a left hand thread. So you turn it as if you were tightening a normal screw to get it out. Once you have it out the chuck itself unscrews in the normal way. The allen key sounds like a good way of getting the chuck off - they are usually wound on pretty tight. Another approach is to put a big drill bit in the chuck and drill holes in a hard bit of scrap wood until it spins off.
The shaft that comes out of the drills gearbox, revealed when you get the chuck off, is 3/8 UNF. You can get 3/8 UNF nuts at automotive stores and people on this forum sell wheels with 3/8 UNF nuts embedded in them.