I can't help with chips flying away from the machine other than to suggest the screen sold by Arc, I think, which has a magnetic base and thus can be positioned wherever it is needed.
In respect of the dovetails, I have used that damp proof course plastic on the lathe as an extension to the cross-slide and it does seem to work ok.
Otherwise, for the milling machine, mine, a Warco MiniMill, came with corrugated bellows which I found soon split along an interior bend. I have used some bellows supplied by Arc with the same result, and now I'm using an idea I picked up somewhere, by Harold Hall I think, of using cereal package cardboard, lightly scored where it has to bend, and then given a good coating or two of any old polyurethane varnish. This does seem to be lasting rather better than the rubber items, but unfortunately is rather stiff. Perhaps I didn't make the scoring deep enough.
Regards,
Peter G. Shaw