Ok, that is a very complex model to be cutting up like that.
First of all, I would recommend not putting them all in one job. If something fails, you’ll lose a lot of work. So create a single job for every part. That way you can also use smaller pieces of material which will allow you to optimize the material used.
By the look of it, you’ll need at least milling from bottom and top and for some parts, from the left and right as well. (at least). Those are not the easiest projects to get started with.
A completely alternative way to do a project like this is to slice everything up in slices of 2mm thickness and carve those out and glue them all together.
And if you really plan on doing a lot of these type of cnc projects, the rotary module might be relevant as well.
If this is your first cnc project you’ll probably learn a lot but probably have a lot of valuable learning experiences as well (read, failed attempts and things going wrong 
)
Definitely do prototypes on cheap & soft materials (even like on styrofoam)
This thread has a lot of useful info for anyone starting with the cnc functionality.