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You can put holes in a part in a single setup on real basic prototype style tooling, though the finished parts have to be manually removed from the tool. The female side ends up being blind with the punch in it, pressing into the male side. The times I've tried this, there often wasn't enough room to mill that feature directly so I'd insert it. You do want some holes so you can knock your part back out. But it is possible to get features in your part with a simple two piece setup. It just doesn't look very conventional and you have to manually remove your part.
It sounds like you've had a lot more experience than me, is there a better (easy) way for something like this?
As far as small holes go, I've had trouble with the tool breaking and have always ended up drilling holes smaller than about twice the material thickness.