Do you do the milk in their room? Perhaps if you made them take the milk in the kitchen it might help with the transition. I remember when my baby brother was little, he did NOT want to give up the bottle while my parents read to him in his room. My grandma told them to tell him that he would not get his book until he came in the kitchen for his vitamin. They gave him his Flintstone vitamin and a cup of water, that became his new nighttime routine. Bath, jammies, vitamin and water, books, bed. He was way more excited about the vitamin than the milk!
I think a lot of what we do as parents that works also depends on our presentation! I know if I make a huge deal to my daughter (who fortunately gave up the bottle without any problems--phew) about something new or developmental--she responds well. Lots of dramatic flair, "Wow! You are SUCH a big girl, I bet MacKenzie (an OLDER girl from her daycare whom she looks up to big time) would say you're a big girl too." When I present something to her as a mandate, and matter of factly, her response isn't always as enthusiastic. When I'm anxious and stressed out about something, she totally senses it and responds in a more stressed manner.
We just moved our daughter's bedroom, and the first night you would have thought we were asking her to sleep in a dungeon! She was hysterical, scrambling out of her crib, crying for me, wanting to sleep in our room... I was devastated! I'm pregnant with baby #2 and was just a hormonal mess, ready to tell my husband that we made a horrible mistake. Then I just remembered that to get her to sleep through the night we had to just stick to our guns when she cried out for us. We stayed with her in her new room, sang her quiet songs, sat in the dark, put her back in her crib every time she crawled out, and just went patient and mellow. Eventually, she fell asleep and when she woke up she said, "Mama, I have new room now!" Of course the next night was still a little rough, but the third night, no fuss, no fight. It's all about diligence!
Think about bath, jammies, milk in the kitchen, books, bed...or some other "new" routine that gets them thinking about something other than "missing" their milk. Be strong and stick to your plan! Kids are much more adaptable than we give them credit for because we know how miserable we/they are when they're stubborn!
Good luck!