Todd,
I have done some milling on my drill press. I have only used it to mill some aluminum stock so I do not use any of the cooling liquids. I just have a two axis cross-slide vise and a set of mills.
If you only want to do is drill flat bottomed holes, there is no problem, however if you are planing on face milling, or slot cutting it's not recommended. The problem is that drill presses are designed for downward pressure only, they are rather weak when it comes to side pressure which face milling and slot cutting will cause. It's also not very accurate because of the excessive side play in the drill press.
Again, you could get by milling some aluminum occasionaly, but anything harder will eat the bearings out of the drill press pretty quick.
I am looking into getting a small milling machine from Harbor Freight. They occassionally have a small on on sale for about $250 or less. Of course if you plan on working on larger projects, you will need a larger mill and the sky's the limit on prices.
...Rich