When I first got my Sherline mill, I put it in a large tote to help contain the chips that are thrown in all directions.
I screwed the mill base to a piece of laminate covered shelving, which was not very heavy. Vibration of the mill has always been a problem; axis locks are likely to vibrate loose.
Now I have made a new enclosure of 3/4 inch MDF. The enclosure is heavier than the mill, and vibration is greatly reduced.
I should have done this a long time ago.
The sloping front panel is a piece of Lexan (polycarbonate) that lifts away while I am making setups.
You can see here a narrow Lexan “shelf” that keeps chips from escaping through the two hand access ports.
North Branch Reels 
It’s difficult to appreciate the mess potential these tools have until you run one without any guards. Weeks later, you are finding metal/plastic shavings in places you know good and well the machine was never even at. It’s like a physical experiment of entropy.
Keenan,
Even with enclosures, swarf migrates all over the house. I am constantly picking up small particles from the rugs.
Dave