Chis,
A fixed steady is the solution but depending on your lathe they can be rare and expensive to obtain but are essential for this type of job. One option is to fabricate one – there have been a few articles in MEW. I did make one successfully in wood 50 mm thick to give good support. I used maple but any close grained wood will do. I tapped it direct to hold some studs and used t nut for others. It was one piece and slid on to the job.
There are several ways to make the fingers but if you can use you mill it's probably a good method.
Do persevere with your mill, I find turning comes more naturally but milling takes more time to set up and is much less forgiving. Post your milling woes and someone will advise.
Failing all this perhaps there is some one local to you who could bore it for you ?
Good luck
Tony