Nothing sad about not having a mill, it's just very handy for building CNC stuff...

About the whole thing... don't rush in would be my advice. Work for someone else if you can and gain some more experience before spending out all that money to set up on your own. Experience not just in machining but also in how a machining business operates e.g. how it gets the business, how it sets prices, how much kit beyond the basic CNC machines it needs, etc, etc. Just jumping in and buying a commercial CNC machine is a big, big risk without that knowledge, especially if you don't already know inside out how to operate the machine accurately and safely.

Check out the PM forum, which is US based and caters for commercial machinists:

Practical Machinist - Largest Manufacturing Technology Forum on the Web

There's a jobs/careers section... I see one advert for Houston, TX - not for a beginner role but that's at least one company you could approach asking for an opening.

Good luck!