I did set up the jig, it's sketchy at best - but it did work.

Yeah it looks sketchy, yes it's made out of scraps, yup that's a 5mm end mill chucked in a drill press, and if you looked at it wrong bad things would probably happen. But it didn't need to survive for long, it just needed to be able to take a crescent shaped slice, about 0.75mm at its' widest, through 4mm of aluminum - 32 times. And it passed that test with flying colors, here's a completed rail still in the jig.

You don't get many chips taking that small of a bite.
I then started putting things together and ran into more problems. Since I'm using 2040 extrusions instead of the original 2020's, I needed to drill holes for 4 more M5 bolts - that hadn't happened yet. I don't know how much I'm paying the guy that drilled the holes, but it's TOO much. The exit point for one of the holes had about a 2mm offset from the entry, a LOT of file work later and that was corrected. You remember when I said that the M3 mounting bolts for the Y axis stepper would JUST clear the new 2040 extrusions? Well they do, they DON'T however clear the rail flanges. Take the rails/extrusions out, clip the corners off the flanges, and reinstall the rails/extrusions. Now, how much clearance do I have between the bearing blocks? WHERE'S THE FLIPPIN' BEARING BLOCKS? Take the rails/extrusions out, install the bearing blocks, and reinstall the rails/extrusions. NOW how much clearance do we have Clarence? About a mm, OK, a miss is as good as a mile. WADAMINUT, where's the grease ports? I'd installed the blocks so that the grease ports were pointing toward each other instead of away from each other. Take the rails/extrusions out, flip the bearing blocks around, and reinstall the rails/extrusions - for about the leventy-leventh time.
OK, now it was time to get serious and start getting this thing squared up. I made sure that both of the 2040 extrusions were in plane and perpendicular to the main side frame extrusions. I made sure that both the side plates were the same distance from the ends of the main frame rails, so the Y axis had a good chance of being perpendicular to the X axis. Then I went around and tightened the bolts, one last time. Annnddd...
Ya know that feeling, when the wrench suddenly loses all resistance and just spins round-n-round-n-round? Yup, I stripped the threads, and I THOUGHT I was being careful. And that's where I left it today.
I know that I ran the M5 threads at least 20-25mm deep in the ends of the extrusions, and I know that after going through the 15mm side frames the M5x20 bolts only had about 4-4.5mm of thread engagement in the extrusions. So there SHOULD be 10-15mm of good threads in the extrusion yet. My current plan is to get M5x30 bolts, that extra length of thread engagement should take care of the problem. (As long as I'm REALLY careful this time.)