I mill HDPE quite a lot generally in thicknesses of 10-20mm on a CNC router. The thing I've found is to actually keep the mills speed up, go too slowly and heat concentrates in one part and it can melt, if you're really unlucky it can then resolidify and jam the endmill (More prominent in polycarb).

It is fairly forgiving though, just run fast and it'll spread out the heat.

I've never really felt the need for coolant whether hand working with wood tools or milling it.