I've almost finished setting up my new SX3 and thought some aspects of my bench design might be of interest to others here, so I'm posting the pix. It evolved out of conversations with a number of you, as well as comments made by others here and in other forums. I'm new to milling and CNC, so I've tried to anticipate as many issues as possible, without having the benefit of much experience.
The final bill is going to be around $1500, which I realize is more than most people are going to want to spend. Over half of that, however, is for 80/20 aluminum extrusions, for which a lot of people would substitute timber for a big saving. The other things I've done are applicaple regardless of the material you use.
One decision I made that greatly simplifies the design is to go with Fog Buster for my cooling and lubricating, instead of flood or mist. Since the coolant doesn't get recirculated, and doesn't collect in puddles (very much), there are fewer waterproofing issues. I just use a sheet of 3/4" melamine.
The slotted angle frame you see going up in the later photos will support acrylic sheets held on with magnets so they'll be easily removed while keeping dust out and chips in.