When I started I also had similar wants. The guy who sold me the parts told me to get strong motors and long threaded ball screws.
Stepper motors work best at lower speeds and having long pitch threaded screws makes good use of that.
In another thread on this forum I read that inertia of the screw spindles it the biggest factor in acceleration, not the weight of the gantry. In that respect, using long pitch screws also makes sense. I use 16x16 mm for x and y, 16x5 for z and have a simmilar size mill.
I found that the actual computer and software makes a big difference in performance. Started with emc on ubuntu 8.04 which was slow at 300 mm/min, when I switched to 10.04, feed could be increased to 6000 mm/min.
Sven
http://www.puresven.com/?q=building-cnc-router