What is the finished shape on the outside?
Depending, you could strap it down to your mill, on a sacrificial board underneath, using straps, T nutz and bolts and using something like brass or steel to spread the pressure of the strap so it doesn't marr or divot in the steel. Use at least 4 so you can remove one in the work area and still have 3 holding it down.
Personally, I'd use a smaller drill bit to start the slots.