There is a tutorial video on YouTube - in Italian if I remember correctly - that shows a person doing a conversion in real time. It is about ten minutes long. It is showing how to install thier own pre-made parts, but you can easily make your own adapters in a few minutes. It isn't rocket surgery on these little things.
There are a number of European web sites that show conversions as well, and one that I found in English is here;
http://www.indoor.flyer.co.uk/millingmachine.htm
Another really rudimentary one is here;
http://www.timgoldstein.com/cnc/Proxxonconversion.asp
In general, I think the mills are a little under $300 new if you shop around. The drivers and steppers can be very small, and therefore very cheap as nobody can use them them for regular machining. I have found new size 17 motors and size 23 half-stack motors on Ebay for 5 bucks or less each, and if you can't find any good deals I have a pile of Vexta 45 oz/in motors left from scrapping old equipment you can have free if you want. They would be about perfect for a mill that size. Just about any driver board will have more than enough power. Power supplies are also easy, as the unit only draws a few amps, so even old laptop bricks will work and should be available for about $10 used.
All in all, depending on how handy you are and how much you want to shop around, you should be able to put together the complete mill for $400-odd bucks or so. For what specific stuff you want to do I think you can probably even get away completely with free software as well.