We have had a Sherline lathe for some time, and nobody has really set it up. For a while, we didn't think that we had a CNC controller for it, since it has stepper motors mounted on each axis. It turns out that we actually do.
Lathe: Sherline Model 4400. This is the larger model with the longer bed.
Signal Generator: FlashCut CNC Model 401A, Serial version. Unsurprisingly, this one is no longer made because it has an honest-to-god RS232 Serial port. However, FlashCut is still in business and making software and hardware.
This isn't the "official" Sherline CNC configuration -- it's a third-party kit. The mill has something more like the official version sold by Sherline.
Software: The lathe came with a fairly elderly computer which I haven't booted up yet to see what's on it. Regardless, it looks like FlashCut can really only be controlled with its proprietary software which is, naturally, Windows-only.