You don't need SetCPU, and after a couple weeks of experimenting, I'd say you don't WANT SetCPU.
The Milestone/Droid will still clock up and down dynamically to save power without SetCPU running. It also clocks up and down in much smaller increments when needed, where SetCPU only has 4 speeds, 125/250/500/Max.
SetCPU can cause some system slowdowns and stability issues that go away when not running it. I'm not knocking the program, but for a Milestone/Droid, it's just not needed.
The only real use for SetCPU is to let you downclock if it gets too hot, or to lock the speed at maximum (really only handy for benchmarks).
You can easily verify that the Milestone/Droid is dynamically adjusting power by installing SystemPanel Lite. It'll show you a dynamic CPU speed value (as well as battery temp and internal temp sensor), etc. Nice little free app.
Also, experiment with voltages. I'm able to run my Milestone at 850mhz with a VSEL of 50 (which is lower than the stock VSEL of 56). Without needing SetCPU, my system runs cooler and gets better battery life than default, but bursts up to max speed when needed. Since it runs cooler (never seen higher than 38c), there's no need for SetCPU for a temperature throttle.
850mhz was the sweet spot for me, a hair faster than a Nexus/Desire/Incredible/EVO running a Snapdragon and Android 2.1.
At 1000mhz, it's much faster than a Snapdragon in benchmarks, but you really only notice it in benchmarks, day to day operation of the phone you have to work hard to feel the difference between 1000 and 850mhz.