John,
I don't like commercial pallets because they're pretty light weight, especially the top surface. And there's no way to get one under a machine unless you have a crane to lift the machine. I build the pallets using three 4x4s for the base and 2-by stock for the deck. A standard pallet is 48x40" and that's a good size for a mill. Here's some photos that show how I do it. This is an Edlund drill press, but the procedure would be the same for a milling machine.
Here we used a rigger's bar to lift the machine up so that we could stack up 8x16 pavers to support it at the corners. This is a fairly light machine, so I didn't use 8x16" pieces of plywood on top of the pavers at each step. For a milling machine, you should always use a piece plywood on top of the pavers. (The concern is that the concentrated load of the machine might exceed the 2,000 pounds per square inch (ish) load limit of the concrete pavers and fracture them.) If the machine is very top heavy, then you would use more plywood pieces so that you are lifting one side of the machine only 3/4" or so at each step. Once you have three pieces of 3/4" plywood under each corner of the machine, you can replace two of the plywood pieces with a concrete paver (which is about 1-1/2" thick).
Once we had 3 pavers under each corner (about 4-1/2"), we were ready to change the support stack so that the pallet could be assembled. Three pavers and a piece of plywood give you a height of about 5-1/4"; you need 5" of clearance to slip the pallet pieces underneath.
Here the frame of the pallet has been built. 4x4s on the bottom, 2x4s on the ends, fastened to the 4x4s with long #10 deck screws.
Next the 2x6s go in. You can slide them underneath and mark the hole positions, pull them back out and drill the bolt holes. Assuming that a 5" long, 1/2" carriage bolt will be long enough to reach through the 2x6 and the machine's base with enough left over for a flat washer, lock washer and bolt, that's the way to go. The carriage bolts go in from the bottom. I like to counter-bore the hole so that the head of the bolt won't stick out below the 2x6; I don't want the machine to be supported on just the head of the carriage bolt when it's on the pallet jack. Once the bolts are in place, the 2x6 is fastened to the 4x4s with more deck screws.
If carriage bolts won't work, you can bolt from the top using machine bolts. Again, I counter-bore the holes so that the nuts won't stick out, for the same reason already mentioned. Rather than mark the hole locations, I carefully measure the center-to-center distance of holes, then layout and drill the holes from the back. I use Forstner bits to drill the counter-bore and then start the through hole, since it's easy to keep the two holes concentric with those bits. The problem with bolting from the top is that it's hard to know what length bolt you need so that the bolt won't stick through too far. You would think it would be easy to pre-measure the right length of bolt, but in practice, that hasn't worked for me. I come equipped with extra bolts that are longer and shorter than what I think I need.
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