For anybody seriously wanting to produce components on a lathe or milling machine i would advise going on an evening course. I did 5 years in total on ONC & HNC courses called Mechanical Production (basically it's all about engineering) and due to my qualifications i was allowed to skip the first year but as the first year was more "hands on" i was always at a disadvantage because i hadn't got the practical knowledge. I have now worked in an engineering environment for 23 years and still wouldn't have a clue how to operate a lathe or miller (safely). I think if you try to pick it up by trial and error you are likely to get shit results and maybe lots of injuries - they are not toys and can cause you serious damage, i have seen the harm they have done to experienced time served engineers so amateurs with no training are likely to be even more at risk.
Good luck with it though but honestly get some training, you'll get better results on whatever you decide to make, you're less likely to get hurt and you will be making decent parts a lot quicker than if you just try to teach yourself.