Copper burrs are not that big an issue if it happens, simply use a piece of green scotch pad on the board. If you're mill bit is reasonably sharp, no significant burrs will occur.

I use the mill bits from Crownhill:

http://www.crownhill.co.uk/02097.html

They are excellent bits and will give a lovely 0.2mm route around the tracks, which means SMD tracks are easily accompished. I've found that using them at about 6000 RPM will make them last a bit longer and give a nice clean cut.