This was the approach I was planning to take when I started looking at this in mid January. I had a look at how professional CNC machines are put together and saw that the prices are a lot more than I wanted to pay but the accuracy and speed was a lot better than I could hope to achieve with drawer slides, etc. I had a quick look around to see if I could get anything second hand or from the surplus market. To my surprise I found an XY table on ebay for $400 which has a super small step size of 6 um but is able to move quickly and has very high stiffness.
This gave me the idea that I could make a very accurate machine that is also stiff enough to do milling. I found a Z axis on CNCzone for $150 and the project was born.