Personally I can't be of much help, being a beginner and living too far away from Milan. But I would recommend asking on the "it.hobby.scacchi" Usenet newsgroup too.
Milan Italy

I give you the link to milan's chess society site,there you'll find the map to reach it and all informations about opening time and activities,tonight I'm going to play there so I can inform of your coming,I guess they'll be glad to reach you)
http://www.scacchisticamilanese.it/Default.asp

here the direct link to the map:
http://www.scacchisticamilanese.it/images/mappa.jpg
and on google maps:
http://maps.google.it/maps?hl=it&ie=UTF-8&tab=wl
the nearest subway station is on red line and is Villa san giovanni),otherwise take the bus going through viale monza,moving from the big LORETO square,a few minutes and you should be there
I would like to talk to someone who knows the chess scene in Milan as I am visiting there next month and would like to play some chess during my visit.