Depends how much larger, and how many of them you want. Milling machines are more expensive in setup cost, but *possibly* cheaper in the long run. As long as you don't break too many cutters, and you buy cheap wood. The author of the "guerilla guide" notes that he's spent tens of thousands of dollars on his milling setup over the years.
Another consideration when it comes to filament is that you don't need the total volume of the object to be filled in. All you need is a solid outside, and the inside of the object can be perhaps 10% full and still be pretty solid. So it doesn't take as much filament as you might think, although you're right -- cheap wood or MDF is still cheaper.
If you're making a large enough quantity that the cost of the machine isn't a factor, actually you don't want 3D printing OR milling. You want molding and casting. Plastic's cheaper than both. Send your model into Shapeways, get back one of the thing you want to make, make a mold of it, and cast a million. Or pay a Chinese guy to do it even cheaper.