I would suggest getting the lathe first, as you are more likely to have lots of use for it before the milling machine.
When you mention "Harbor Freight" and "Grizzly" in the same sentence you are confusing an established name brand imported machine tool supplier with the outfit that delivers mechandise on the very bottom of the quality control list. HF is often regarded as unserviceable, even new out of the crate. Grizzly, on the other hand, has an established dealer/distributor network that also sells imported machinery, but it is an order of magniture better than the HF stuff.
Have you considered a used American-made lathe? In the current economic climate, good, used, machine deals are easy to find. The trick is knowing what to look for, or even better, having an experienced machinist friend available to evaluate the prospective purchase. I would recommend reading up on the subject before buying anything. Do a websearch for "lathes", "used metal working machinery", etc. There are a number of used machinery websites that give useful tips and inspection pointers for you to follow.
What city are you in? As for specific models to look at, I'd suggest tracking your local Craigslist tools for sale. I've found a number of very good buys, and the occasional bargain lathe for sale. Critical to your purchase is the availability of needed accessories: tool posts, tool holders, steady rest, follower rest, centers, cutters, tailstock, and so on. With some luck, you can find the entire package available for sale. Ideally, you would find a retired/retiring gunsmith that wants to sell his entire tooled lathe as a package.
Let us know how you make out.
John