I've made one recipe with goat's milk, so I'm certainly no expert, but freezing to a slush consistency first really helped. Add your lye a little bit at a time. I did about two tablespoons at a time, stirred, waited a few minutes and added another couple tablespoons until the lye was dissolved. I also put my lye pitcher in a cold water bath while mixing the lye with milk. All of that helps to keep the milk/lye cool enough that the sugars in the milk don't caramelize and turn an orange-brown color. If you have a laser or candy thermometer, keep track of your temps so you know what to expect next time you make a milk soap. Mine worked out great and I had no problem with overheating even with CPOP. Taking your time with the milk gives you plenty of time to heat/melt your oils and get your colorants and other additives ready too.
I think Irena (soapbuddy) treats her milks a bit differently. She mixes her lye solution with half the liquid amount as water, and then adds the other half of the liquid as milk when she mixes with the oils. (Irena, please chime in here and correct me if I'm wrong!) Some people treat powdered milks as an additive kind of like clays. It's one of those things you'll need to experiment with your own recipes and see what works best for you, but that's the fun of soaping.