I have a loc line setup with a magnetic base that I can use on both my drill press and mill. It has a valve so I can keep the pressure set way low to just clear the area around my bits and tools so I can see what I'm cutting. A small 1/8 valve between my airline and blower help lower the pressure so I don't accidentally blast chips in the air.
Not really, I have a foam pre-filter over my paper filter, and have never had a problem. The oil pretty much drops out before it gets to the filter. The worst clogger is fine saw dust.