I haven't machined much personally, but I worked at a shop that did tons of it. The biggest issue is that it is very abrasive. It's also very brittle. Contrary to what your intuition might say, you really need very sharp (meaning uncoated and polished) high positive rake carbide tools, preferably premium micro-grain. You'll just have to add plenty of tooling into your quote. Sharp, high positive rake is important to cut down on chipping by minimizing tool pressure and keeping it concentrated in the cut. I don't remember what cutting fluid they used, but I think it was the standard water soluble stuff they used in most of the other machines. EDM was by far the most preferred way of cutting.
There are lots of other tricks people mention, like heating the tungsten above a certain temperature (can't remember but a few hundred degrees) to get it past the ductile-brittle transition temp., and they tried them all and settled on very sharp, positive rake carbide tooling and lots of it.