Same as my lathe, my mill Grizzly's version of the Sieg X2 mini mill. Unlike the lathe, the mill needs some work right out of the crate to be usable. At a minimum the column needs to be trammed to do work of any precision at all.
To really set up the mill properly the head needs to be aligned to the column first. The method is described nicely here:
I would add that it's imperative the four socket head cap screws be completely tightened before taking a Y axis reading because the screws' tighten will affect alignment. Also, make sure to take another set of Y readings after finishing adjusting in the X axis. Also, tighten the screws slowly when locking in X and do each in turn in very small increments. Even then the head will rotate slightly (about 0.0015 to 0.0025 in my experience), so account for that.
Let me also add something on using Rollie's Dad's Method. It's a very elegant way to do the alignment since it averages out any runout present. In case the linked didn't make it clear how to use RDM you take a reading away from the head and adjust the dial on your indicator until there's equal movement to either side of zero as you turn the rod through a complete rotation (and turn the rod using the drawbar at the top of the head and not turning the rod itself). Once you have that turn it until the needle is on zero and move the head close to the indicator and take another reading and see where the zero now lies. The difference in distance between the two zeros is your misalignment. If it's properly aligned then the zero at both locations will be the same. When using RDM I like to mark the two areas I'm taking readings, and then mark where zero is at each area.
Once the head is aligned you need to align the column to the table. With the tilting column of the X2 you use the tilt mechanism to align in the X axis and have to shim to align in the Y. For shims I buy feeler gauge sets and use those. They're cheap and accurate. If I need something below 0.0015" (which is the lowest feeler gauge sets seem to go) I use aluminum foil. Standard aluminum foil is 0.0006" while heavy duty aluminum foil is 0.0008".