My oil was never milky looking. That's a different kind of head gasket leak. What happens with our engines is a leak between the 4 and 6 cylinders that allows exhaust gasses to enter the coolant passage between the cylinders. This causes the coolant to burn off, which is why it disappears from the radiator and overflow tank. You can see the missing black from my head gasket that was allowing exhaust gasses to escape into the hole which is a coolant passage:
Like I said above, you won't have milky coolant.
Some people have done the job themselves, but you'd need to be a pretty good mechanic. I would not (did not) take mine to a dealer. Find a reputable independent who is local to you, it'll be much cheaper.