It's difficult to cut sheet metal with a mill; the reason you're getting such short life from your bits is probably because you aren't holding it down well enough. If the metal gets to move even a little, that will destroy a small bit like that in short order. You also need to spin them at the max RPM for effective cutting. You might look into vacuum pods for holding down your small pieces of metal. Lubrication of the cut helps too; especially with sticky metals like copper and aluminum. Diamond-coated bits are expensive, but they can stay sharp longer. Mostly they're used for abrasive materials like graphite.
Really, if you need to make a lot of highly-detailed cutouts in thin sheet, you should look into another process. Laser cutting might work better, or spray-etching. If you do keep doing this with your MDX-40, be sure not to let the chips escape down into the works of the machine, which are exposed underneath. It's not designed to deal with metal shavings getting in there.