There seems to be more than one opinion on this. Not so much on the actual milling but how to handle the refinishing of the slide after it is milled. Dan Wesson recommended Primary Machine to do the milling on my DWX. I still haven't had mine done and probably won't, at least for now. I've heard of several satisfied customer of Primary Machine. I've also heard of several people who have had a great job done by CZ Custom.
But that's where the difference of opinion comes in. The DWX comes with a very high quality DLC finish, but some machine shops like Primary Machine require that the entire slide be refinished after it is milled. Generally Cerekote is suggested (black nitride is optional) but Cerekote isn't nearly as good a finish as the original DLC finish. Cerekote is a great finish, but it can show wear marks more than others, plus it stacks up and can add thickness to some tight fitting areas such as around the area where the red dot fits.
CZ Custom says that since the slide is stainless steel, that refinishing the cut area isn't necessary because the stainless won't rust. They will either leave the cut area of the slide unfinished, or send it out for a black nitride finish.
Stonebridge Gunworks also has a lot of good comments about their work and they also say that refinishing the entire slide is not necessary.
So do your research and take your pick. All three of the shops that I've mentioned have good reputations, but I'm sure that there are others that can do the work too.