I made a splashback recently, using galvanised sheet steel with the half-inch edges folded 90 degrees to strengthen it. The exposed edges are protected by U-section edging used in vehicles (I think - not sure where it came from, but I'm glad I saved it when it was given to me - its been in the shop for years waiting for a use!) My machine is a Taiwanese copy of a Bridgeport, but I guess the column casting is the same: the sides of the column near the knee dovetails are straight for almost the entire height of the column, making the job easier (I drilled and tapped the sides to bolt each splashback onto). I also folded a tapered three-sided splash tray from the same material, the ends of which are riveted to each side of the splashback. This tapered (bottomless) splash tray sits in a two inch deep rectangular stainless steel chip tray that I had made for me. The stainless tray lies on the base casting under the 'elevating screw housing' (knee jack.) I supported the knee on a steel beam whilst I fitted the tray. The tray has a drain welded in the bottom at one side that leads into a polythene coolant sump which sits on the floor alongside the cast base of the milling machine. This new sump is an easily-cleaned polythene plant trough from the garden centre; fortunately they have them in black as well as terracotta colour so my black one doesn't look too like a flower trough, and I've fitted a sheet metal cover. The pump that was inside the column now stands in the new sump beside the machine's base, supported by a bracket from the holding-down bolt hole.
My reason for abandoning the coolant sump inside the base of the column is this: it is very awkward to mop out the last of the coolant and then clean out with cleaning liquid when I renew the coolant; ideally you would need to be a long armed contortionist. I don't fancy these antics when I'm older - they are difficult enough now. A secondary benefit is that I don't need so much coolant to keep the pump suction submerged. Since I'm not into mass production, I don't expect the smaller volume and less contact with metal to result in warm coolant, but if it does I can make up a larger sump. regards, Ian