FarFar, Thanks for sharing your research on TTH. I think these are probably the most effiecent and economical lathe cutting tools for a HSM.
Regarding the square hole for holding the colbalt, I think you could cut it easily with a rotary broach on your lathe. This thread has an excellent description of the process and home-made tooling:
http://www.hobby-machinist.com/showthread.php/14582-Rotary-Broach-Holder. It would be far cheaper than electrical discharge machining and would not stress the metal like the press process you are currently using.