Welcome!
Find a local model engineering society and join..
There you will, meet like minded folk who can help with face to face advice, and demonstrations,
Also, what you see will inspire you, but don't think that you should start building an A4 as a first job.
Read up in books on lathe operation. (Sparey, Bray, Bradley, Clark, Fenner, Wyatt have all written books that will help. (Setting up, tool grinding etc You'll need a bench grinder if you have not already got one.)
Learn by making simple accessories, ( Centre Height Gauge, Tap wrench, Die Holder(s ) . Even better if you make Sliding Die and Tap holders, may save you some grief later on ).
A Mandrel Handle can also be a help for cutting a thread up to a shoulder. 
Currently, I am helping a newbie with his first lathe, to make accessories. He is gaining experience, and confidence, which he will put to use when he feels able to take on more complicated projects.
DON'T use a drilling machine for milling, even with a cross table. By all means use it to drill holes to co ordinates, but not for milling…
The drill chuck and the spindle are meant for axial loads, not the intermittent lateral loads imposed by milling.
In any case a drilling spindle is unlikely ,to be as accurately located as ma milling spindle.
If possible, only use a lathe to mill, for light work.Maybe I was heavy handed, but a Rodney milling attachment shook my Myford ML7. So I bought a Mill!
Milling, unlike turning, is an interrupted cut so involves a lot of impacts, and hobby machine are not heavily built like industrial ones. And as you know, industry uses heavily built Mills for such work.
HTH
Howard