Thank you gents for the warm welcome! It's a little disturbing that all the projects I can think of involve making more tools. At the moment I have no idea how I am going to hold down soft wooden parts without crushing them, or how to drill holes without also drilling into the table (Proxxon MF70 does not have a z-axis depth stop), and so on. Also on the cards is a project to make a rope serving machine which I will mount on the lathe, as well as a multi-function waterline marker and vertical angle finder.
Right now, all that I have received is my Proxxon MF70 mill along with its accessories as well as some aluminium stock I picked up on eBay. I am still waiting for my Sherline lathe to arrive. Once that gets here, I will get started on my first project. I am already starting to think that the Proxxon might not be enough mill for my ambitions, even though I have not actually milled anything on it yet! We'll see!
I will post some pictures when all the gear arrives.