Good call Jon... Backlash is your enemy.
Ballscrew conversion is my next project when I get
this out of storage this weekend.
It's pretty good... I'll have to mic it to see just how much backlash I have on it.
(It's been over two years since I had it out and working

)
Things you need besides a mill: Cooling system (Read BladeRunner's article completely for more details.)Collet set, endmills, vice, micrometers, drillbits, parallels, T-bolts, flycutter(s), copper/brass/aluminum/acrylic stock and maybe a book on milling techniques.
If all this seems kind of overwhelming, it is at first. But, if you are serious about getting a mill and using it more than once or twice, then all of these things will help you.