Not sure how a dense liquid such as milk could possibly enter the CPU's socket...You see milk has a great deal of sodium in it, so letting it dry out wont solve anything. As of now, do not put anything together and test because you could cause further damage. Right now you need to pick apart the components which were infected with milk, and those that were left untouched. Take the infected components and cleanse them with Isopropyl Alcohol, just make sure you REALLY clean your components. Second option (if you are really paranoid that there are traces of milk left on your hardware) and I'm definitely not certain about this one, but I have heard that you could fill a bucket (or a large one for your case) with Isopropyl Alcohol or something less powerfull and cheaper, and lay down your components there for a couple of hours (or minutes; again I'm not confident how you would go about doing this method).
Few notes:
No need to clean inside slots, milk is way too dense to get into these little openings (unless when you took apart your components you dripped little drops of milk inside)
Test only essentials
Check individually if fans work because the last thing you want is to clean your system and have it running only to find out your fans are dead, which then could risk doing damage.