Wow, thats a huge vise for the Taig!
Mine's a pretty basic setup. I have a coolant block with four 1/4" npt ports in it (1 input, 2 outputs, and a cross transfer hole to be plugged) just mounted with two 8-32 screws and nuts to hold it to the headstock. I have a drain in the rear left corner which is basically a funneled hole in the bottom that drips into a shower drain type deal in the actual MDF countertop. Then it just drains into a reservoir just to the left under the lower countertop. I use a Little Giant (from enco around $40, don't have the model number off hand) pump for the coolant which is more than enough for the Taig.
I run about 2 gallons of coolant (I check what kind I use and post it later) which seems to be more than enough to cycle through nicely. Also another thing to make sure you do is to put some sort of cover over your X and Y steppers so you don't get coolant and swarf on them. I just used some cheapo disposable food containers and cut a notch in them to fit over the motors and a rubber band to secure them. You'll need to lube your ways and leadscrews more often too as the coolant will wash it away after use. I use Vactra medium way oil ('bout $10 or so from Enco).
Something else that I haven't done yet is install some sort of way cover for the Z axis as it seems to get a lot of swarf thrown on it. I just make sure to use a chip brush to keep the leadscrew and ways clean when I see some build up occuring. Also I had to play a balancing act with my enclosure to get the coolant to drain to one corner but some wood shims make that and easy job. I also mounted the mill on 2 pieces of hollow rectangle aluminum to keep things nice and secure while leaving me able to move the mill around in the enclosure if I have to work on a long piece (like the photo above).
Ideally I would have liked to done something like the Tormach mill base and enclosure, but I definitely don't have the room for that and this system works pretty well as is. Also I could use some cross bracing at the top of the aluminum frame for the enclosure to keep things more rigid, but for now it works just fine. You do get a slight hum from the sheet metal enclosure, but not really much to notice when you're cutting chips.
The parafin is a good idea and I was going to learn my Taig on that, but I just ended up using some scrap wood from the garage. Then I got too anxious and started cutting aluminum shortly after that. You should love it, and yes, you will soon become addicted to machining and all of your "spare" cash will soon be consumed by the hobby. Have fun with it! Make some cool parts and post pictures!