You don't *need* coolant to operate. You may get better surface finishes and longer tool life if you use some kind of coolant, but you don't need it. Coolant is most important for high production rates. In a home shop, it's a hobby -- it's SUPPOSED to take a long time. So, backing off on the rpms and the feed rate so the cutters don't burn up when machining dry is no big deal (usually).
That being said...HSMs also (usually) don't have a lot of money to spend, and dropping 15 bucks for an end mill is an activity most of us would like to keep to a minimum. Anything that can be done in that regard is Goodness. Coolant can help.
Personally, I have a Bijur mist unit. It works pretty well, but the cost for Bijur's FluidFLex unit has gotten totally insane since I bought mine and I don't recommend it. There are other, cheaper, units out there.
For coolant, I use KoolMist 77 (or maybe it's 78 -- the general-purpose one), and find it works well. It has very little tendency to grow fur while sitting around, as some others do. It also seems to prevent rust pretty well.
One thing with a mist unit -- a lot of people run far too much mist, fog up their shops, and say mist is no good. According to Bijur, there should be little or no visible mist. The cooling comes primarily from the refrigeration effect of the mist evaporating into the airstream and cooling it down. If you stick your finger in the airstream and gradually turn on the mist, you can feel this happen.
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