Okay, I promised you Cheap and Easy Z-axis Way Covers...here we go.
I started with a sheet of nitrile rubber, it'll cost you 5 bucks at Enco and you get enough to do this project a couple of times:
http://www.use-enco.com/CGI/INSRIT?PMAKA=240-2329&PMPXNO=4838017&PARTPG=INLMK32(Link is fixed now...sorry for the misdirection)
You will also need some steel banding material, the kind they band pallets with for shipment. I keep several feet of this on hand, great for lots of things. Get it for free wherever pallets of merchandise are delivered. Brickyards and home improvement stores are great sources!
And finally you want some really strong magnets. I use neodymium hard drive magnets. You can get them for free out of old dead hard drives, or buy them on Ebay. They are strong and will pinch then #@$%^ out of your fingers...you have been warned.

Here are the magnets stuck to the column of my mill:

There are 2 more just like them on the skirt around the bottom of the headstock. I don't know where that picture went.

Cut the rubber in half lengthwise. You'll end up with two pieces roughly 6" x 24". If you cut the other way it won't work as well.

While you are cutting stuff, cut two pieces of banding strap about 14 inches long and fold them in half. Give the fold a good tap with a mallet so that it will close on the rubber firmly.

With about a half inch of rubber sticking past the top of the metal, fold the thing over like this

and stick it to the magnets on the headstock, like this (actually I didn't have it folded over when I took this pic...my bad. You can see how it is supposed to look in final pic)

Now run the headstock all the way to the top and repeat everything, but upside down, for the magnets on the bottom of the column. You want the sheet taut but not stretched too tightly when the headstock is fully raised so measure and fold accordingly. When you lower the headstock the rubber will fold back and forth across itself and lay neatly behind the table, out of the way.

Easily removed for cleaning, durable, and best of all it was cheap.
Your Z axis cover has now been 5 Minute Fixed!

Todd a.k.a webs