+1Forget about milling with any drill press. They are not meant for milling steel and will make a mess of it... it doesn't matter how tight you think you press is, it does not have the correct bearings/bushings for any side forces.
Take it to a TIG welding shop. They'll put a small nut over it, they'll next weld the nut to the broken screw at very low amps. Then you turn the nut out.
It gives you an opportunity to learn before it decides to shred your threading and scratch the receiver.
I know this' good advice because I ignore it now and then and regret not following it ... a lot![]()
Im curious to how this turns out.