The boat (from Pollonia in Milos’ north) docks at Psathi, from where it’s 1.5km to the pretty capital, Hora. Wander the maze of streets to reach Hora’s central cafes and a semi-crumbling medieval kastro. The kastro holds the Church of the Nativity (from the late 16th century) and the petite Folk & Maritime Museum of Kimolos.
Caïques from Psathi buzz out to beaches, the best of which is magnificent, white-sand Prassa (also reachable by car/scooter/ATV along the partially sealed road). You can walk there from Hora in about two hours.