I used to use either bent aluminum, or bent plexiglass sheets for this on a Milltronics Partner 4.
Make them with a bit less than a 90 degree bend each, and tall enough to catch the flung chips and coolant. For smaller parts, two could surround the work area, for larger parts use a couple more to contain the majority.
A sheet offcut of plexi works well glued to a dollar store magnetic level, for plonking it in place on the top face of the vise.
They have enough mass to stop the spray and chips, but if you mess up and the mill returns to Home after the work is done, and attempts to rapid through them, they simply fall on the floor or fall over.