Hi,
I am currently making a cnc mill. Have been doing the project for over 12 months now...... I'd say I'm approaching the half way mark!!! Although I have been working away from home so its been a bit on and off.
Its actually my second attempt. My first mill was made out of MDF.....I never finished it. I know you want to make a cnc mill with a cnc mill, which is a nice idea, in reality the frustration, time and disappointment with making your first out of MDF is NOT WORTH IT. Just giving you the heads up.
My second mill I used a product called 8020 (American brand). Its an aluminium extrusion. Strong, light weight (not that weight should be a problem with a desktop cnc mill) and VERY versatile. I live in Australia and bought all of mine of ebay. If you live in America do a search '8020' on ebay, HUGE range of products at VERY low prices.
Here are some pictures of where I am at: