Before I got my 3x6 bandsaw I cut the steel with a hacksaw. Yes it took some time to do that but not an excessive amount. I cut my first 7 tool holders with a hacksaw. Your friend with the job shop can cut the steel for you. Everything else can be done with your mill. Here is how I would do it with your mill.
1. After cutting to length with a hacksaw clean up the rough edge(s) with an end mill. You could even do this with a file. You could also square the steel. This is not necessary for function. Only to make it look nicer and to give you practice using the mill. Joe Pie has a great video on how to do this.
2. There are a bunch of holes that need to be drilled and most have to be taped as well. The order of how you do this is not important.
a. If I was doing this I would drill the hole for the post first. You will be using a bolt for the post. This hole needs to be a very close fit on the post. Probably best to drill slightly undersize and then use a reamer to ream to final size. This is the only hole that is critical size wise.
b. Drill and tap the rest of the holes on the top of the tool holder. 3 holes for set screws to hold the tool bit in place and one hole for the height adjusting screw. The 3 holes for the set screws don't need to go all the way through but it doesn't matter if they do. These holes only need to be deep enough to go into the slot that you will make in the next step. Tap these holes. The hole for the adjusting screw does not need to be tapped all the way through. Only about .250" deep. The remainder of this hole needs to be drilled oversize for clearance on the adjusting screw.
3. The slot needs to be slightly wider than the size of the tool bits. I like to use 3/8 tool bits so I made the slot on my most recent tool holders .500" wide by just under .375 deep. There are often times when you will want to square the tool bit to the work (machinist speak for what you have in the chuck). I find this easiest to do if the tool bit sits just proud of the holder so that it can rest against the chuck. Otherwise you will need to hold something between the tool bit and the chuck. Where the slot needs to be is determined by the thickness of the tool holder and the distance from the compound to center line. One easy way to do this is put a sharp dead center in the lathe spindle and with the tool holder on the post use the dead center to scribe a line on the tool holder. This will be the top of the slot. Might have to make several tries to get this right. With the slot end of the holder up in the vise use drills to hog out most of the slot. I use 3/8 or 7/16 drills for this. Be careful to not drill too deep. Then use an end mill to clean up the slot to final dimensions. I use a 3/8 end mill to do this.
4. Time to drill and tap for the clamp bolt. Use 3/8 bolt. Absolutely do not use a 1/4 bolt. You will twist the head off trying to clamp the holder to the post. A 5/16 bolt is marginal IMO. First drill a hole all the way through the holder. Next I like to cut a slot with a hack saw from the end of the holder to the hole for the post. I do this on center but it is not critical where the slot is. Next tap one end of the hole. I like to tap the end that is towards the headstock. Last step is to drill the other end oversize to clear the bolt.
Your tool holder is done. I have probably left something out. Don't be afraid to ask questions.
