I've yet to make mine (for my little 7x14) but I've got a couple of pieces of square bar cast iron (two because I figure there's a good chance I may mess up on my first go!
).
I'll be doing all the machining (other than drilling and tapping holes) on my lathe using a 4 jaw, and a vertical milling slide.
I've decided on cast iron because it's got good rigidity (not significantly better than steel of any kind, mind you, so that's not the main reason) but also because it's better at dampening vibration than steel.
I've used cast iron plates as clamping pieces underneath my lathe stand between the bolts and the steel of the stand (the lathe is on a granite counter cut-off that's on top of a 1/2" steel plate that's on top of two steel cabinets)*.
The drilling and tapping of those plates was easy; cast iron has a built-in lubricity that makes it quite easy to machine generally.
As has been said, though, it will make a right old mess.
@ChazzC had a setup with a shop vac to remove the dust/chips that might be worth checking out; when I do my toolholder plinth, I'll be doing something similar
*The granite and the cast iron clamping pieces underneath are to try to dampen any transmitted vibration from the lathe to the steel stand; if I push cuts in steel beyond about 0.015" (about 0.4mm), I get that harmonic kicking in, the stand starts to resonate and it sounds like I'm torturing a cow! I don't yet know how effective the granite and cast iron plates are going to be because the bed is currently attached to the stand with nothing else on it; all other components are awaiting reinstall during another round of improvements I'm making.
