What's the best way to machine LEGO pieces on a mill?
I don't have any experience modifying a brick with a mill but I have had success using a drill press, knife, and dremel. I can't imagine there being any problems while using a mill.

If you're looking to clean out the pipes inside a brick, I've found higher speeds with a drill work better. At a lower speed, the bit cuts into the pipe but doesn't remove any of the plastic. When the bit is spinning faster, it doesn't cut into the pipe but shaves the plastic off.

Lego is ABS plastic, I believe, so doing some research on working with ABS, rather than specifically Lego, might give you more answers too.