I have the same mill, the DRO version. Agree with Donnie on all points. There are sooooo many mill bit options it can be overwhelming. Others have offered great information and links. I have purchased some of Sherline's end mills. But as Jim stated, A.E. offers some very affordable tools and I have used 2 of the brands he listed, with great results.
Just a couple of general points, from my own experience. Typically, the fewer number of flutes the more material can be removed, at the cost of a rougher cut. Conversely, 4 flutes will give you a much smoother surface than 3 flutes, but at a slower feed speed. Also, I do use Sherline's end mill holder, but only with larger diameter mills and typically working with metal or very hard woods. For wood work with small or micro mills I will use a chuck. The resistance forces are not so great. I've never had a mill come loose in the chuck.
It's fun to experiment and be creative flattening the learning curve. You will discover, depending on the tolerances required by the task your performing, it may be more efficient/effective to build a small jig and hand feed rather than set up the vice every time. It just depends on what you're doing.
Sherline makes great tools. Have fun!