Machining a Captive Ball Component

Has anyone ever tried to create a captive ball component using a home CNC machine? I'm thinking of a rigid roller ball as you might find in a transfer unit, rather than a spring-loaded plunger ball. One possibility I had in mind was to create a countersunk hole deep enough to allow the ball to emerge partially through the hole, and then to tap the hole in order to fit a threaded 'plug' of sorts. I don't currently own a CNC machine, I was hoping to use something like this in one of my CAD projects.