All of these are hard on tooling. Use good carbide bits that come to a sharp point, because you will ruin anything else. If it's at all possible (as it is with PCB copperclad board or other flat stock) affix backing and preferably even front material like a contact paper or plastic, to help control burrs, shards, and breakthrough.
And for God's sake control dust. All of these things make abrasive dust that's hard on any nearby exposed bearings, slides, eyes, lungs, or toolways.
All that said -- follow a few sensible precautions, be a little extra-careful about dust, use good tooling, and there's really no problem milling the stuff.