I plumbed a 'whole house water filter' on my mill and it's been working very well for the last two years or so. I got mine from McMaster (don't remember the PN, sorry), and am using 20 micron filters. The 5 micron filters plug up almost instantly, but I think you could plumb two inline with each other with the 5 micron last if you really wanted to.
I put a pressure gauge on both sides of the filter which is nice because I can diagnose pump problems and sump filters early instead of not knowing anything until coolant flow stops completely. Likewise I can tell when the filter needs to be changed.
The whole thing cost in the area of $40 if I remember correctly.
I'd second the Filtration Systems bag housings over all other bag filter housings. In a previous life we used them for filtering aluminum fines from a solvent degreasing system...definitely do not want leaks in a 240 degree perchlorethylene system. Again, best bag housing out there.
The industry size #2 bag is big ~7" x 30" IIRC, so you could extend your bag change out quite a bit. There is also a #1 bag which is half as tall, but the housing and bags are almost as much $, so just get the larger one.
I believe Keller makes (or markets someones???) bag filter also, but what I recall seeing on line was not as nice as the Filtration Systems stuff.