[Newbie] To Mill Or Not?

Drill what ever size shank you will be using
You need an accurate hole. Drill 1/64" undersize and ream. Best to do both operations on the machine so finish the top end first.

A brutal way to make it hold end mills would be to drill and ream a hole in the end of that taper and then hand-drill a hole in its side for a setscrew.
 
Jacobs makes a threaded chuck but it is made for a mag drill. It would not have a socket for your taper . I think the threaded chuck is 5/8" fine thread.
 
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