I too would go with the 2-piece sawed method. It would be easiest & cheapest.
If you get a good quality band-saw (blade doesn't waver all over the place), you should be able to make the fins rather thin. I used to do this at my old job (although I wasn't into WCing backthen, so it never clicked).
Milling that out with end mills would be way too expensive & take too long. You'd have to use very small mills, go slow, and you would probably still get a LOT of mill bit breakage = $$$.
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