I have one of those jigs, and I have used it for simple jobs on the drill press. For milling, I bought a set of vee blocks on one of my first orders for mill tooling after I ordered my mill.
I agree that these jigs are best for the quick jobs on a drill press, but vee blocks are proper mill tooling. I now have three sets of vee blocks.
As an aside, I was unaware early on about the jigs that can be made for cross drilling that use drill jig bushings to support the drill bit. Clearly a good thing if you need to set up for "production" of many rods with cross holes.
Mr. Pete, aka the US Tubalcain, aka Lyle Peterson, has a video about them:
--ShopShoe