I agree completely with the recommendations to get a drill press (even a 
$100 table-top model) over a Dremel holder.

Back to the original question (I think), you can do a little milling with a drill 
press, but don't expect the quality you'd get with a milling machine, and don't 
expect the drill press to survive long as a full-time milling machine.  The 
bearings are designed for downward thrust, but not for lateral thrust.  So you'll 
wear them out prematurely if you do a whole lot of milling.  

With those dire warnings out of the way, people have certainly used them for 
milling and done good work that way.  Even if you have to replace a dozen 
cheap drill presses because you've destroyed the bearings (which will take a 
while) you've still only spent what a cheap milling machine costs.  You make 
the decision.  (You can use the mill as a drill press, of course.)

regards,
  -vance-

Vance Bass                
Albuquerque, New Mexico, USA
Small-scale live steam resources: http://www.nmia.com/~vrbass 

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