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Always mill the traces AFTER you drill the holes, doing it the other way may result in the drill pulling up an etched trace and destroying the work of the milling process.
Completions
De-burring
Cleaning
The best way to clean a copper clad board after milling all the traces and drilling the holes is with de-ionized water and light abrasive such as a fiberglass scour or brush.
You should always clean the board after milling to reduce the number of copper shards left over by the milling and drilling process. While a good cleaning will not guarentee complete removal of artifacts such as copper shards, it certainly reduces the chance of such artifacts being present (especially smaller artifacts such as copper dust or fiberglass dust).
Beware that excessive cleaning will result excessive oxidation of the copper on the board. If you do not plan on soldering your components onto the board soon after you have cleaned the board, the fresh copper on the copper clad board will rapidly oxidize and make soldering harder if not nearly impossible. To mitigate the effects of oxidation on soldering effectiveness be sure to clean the board before soldering and use plenty of flux. While most solder has a inner resin flux core that is essential to soldering, you may find that the heavy oxidation that builds up on bare copper may require extra flux. Use a flux pen to apply a small amount of solder on the pad immeditely prior to soldering just that pad do not apply flux to the entire board, it will dry up and move around on you and likely defeat the purpose.
Inspection For Shorts