This project is a great place to start for the new metal lathe owner, as most of the project requires use of the lathe. A mill is recommended (to cut the slot), but not required (the slot could be drilled and filed by hand).
Google Image Result for http://www.personal.psu.edu/mlr5095/images/TurnedChessPieces.jpg
Metal lathed 30mm bullet tip
Shop Made Tools - Page 89
How to make and use a Pot Chuck for your Lathe
Homemade milling attachment (Varmint Al's Mini Lathe Pages)
.Good HSS cutter sharpening guide.
Modernist chess set
Metal Lathe Projects by Matthew Hall at Coroflot.com