The CNCFusion kit seems a good place to start. But I imagine you will probably be better served learning how to mill manually first.

Another point to note is that if you are going to spend money on a CSMio controller you may as well buy the best ballscrews you can. I have a feeling that the kit includes C7 accuracy screws based on the quick look I had on their site. C7 accuracy does not lend itself to milling machines as you cannot preload effectively. You should be looking at C5 or if you can afford C3. Then you should also match the bearings to that accuracy.

If you do not go full hog and get servos, then the closed loop steppers are a very positive step in the direction of eliminating lost steps. I would recommend you get the better branded ones though.

As for threading, if it is thread milling you are interested in as opposed to using the mill like a vertical lathe of sorts, then using a single point thread mill will get you any internal or external thread you need. No need for extra hardware.

May I ask if you have considered buying a ready made system? With the price of a X3 + screws+ electronic+motors, you may be in the region of buying a ready Syil CNC machine.