The way a headspace gage would usually be made goes like this:
1. The steel is turned to perhaps a few thousandths over length and a couple thousandths over diameter.
2. The steel will be hardened.
3. The gage is then ground to final size.
4. The size of the gage and go/no-go/test are engraved or etched into the side.
If a gunsmith had a lathe, a small heat treat oven, a tool & cutter grinder, and a book of chamber prints (available from Pacific Tool & Gauge) he could make a for-real headspace gage.
As it is, I'd prefer to just call up Pacific Tool & Gauge and say "Hi, I'd like to buy a headspace gage for a Type 99 Arisaka..." and the nice lady on the phone would say "OK, that will be $X and take time T to be done."
As to making one on a "mill" -- I could sorta do it by putting a piece of drill rod into a chuck in the mill, put a lathe bit into the vise and "turn" the material to size on the mill... but what a bizarre job.