I am contemplating doing just this due to limited shop space. My procedure would be to build it flat first to get everything lined up then turn it on it's side. As long as it is ridged enough then I don't see too much of a problem. With the X axis horizontal, and the Y axis vertical, only the Y axis will need a stronger motor to move the weight of the Z and spindle. Holding down the work piece will need to be without benefit of gravity.