I prefer steel to the copper alloys or aluminium and early on found that I really feel cleaner after cutting with coolant, and I think my results are better. I made a really simple coolant system, basically 2 buckets as one of the first things I did for my lathe. First some panel beating on the drip-pan as supplied to give it a depression and then drill a drain hole (duh). One bucket is suspended from the rafters, with galv fittings, a really neat plastic ball valve, I paid about US$0.85 for, Gardena type fittings, a transparent plastic hose and terminates on the lathe with some Hoselok. Gravity takes care of the feed and I simply empty the lower bucket into the top one when I have no flow. If I am really busy I might have to empty/fill buckets twice in a day, no great strain. I bought a 5 litre bottle of coolant a while back which I havent cracked yet so I am still good for coolant for ages.
Ant
PS I don't really dig the idea of breathing coolant mist, I would want to get around the idea of mist cooling.