Lots of people have talked about doing this, but hardly anyone ever actually does. The problem is that cheap ballscrews are less accurate than the Sherline's existing leadscrews and the expensive ones cost more than the mill itself, if you want a whole set. Plus it's hard to fit the nuts into the space available.
If you really want to change out the screws for better speed, look into the Kerk screws: Haydon Kerk Linear Actuators, Lead Screws, and Linear Rails They have anti-backlash nuts for them, and they have a coating for better lubricity. You can get them with faster leads than the standard Sherline screws, which makes them better for wood projects. A2Z uses them for their "Monster" mills - essentially Sherline mills with these screws fitted.