put the amount of milk you want in a small sauce pan and heat it on low and stir it hear and there. It's bad to save the warmed milk/put back in the fridge, because once milk is heated it usually is questionable to save it. another was is to put milk in a empty water bottle and run it under hot water in a bowl in the sink.
Warm milk doesn't so much help you sleep. if you grew up with it, then it may help just through memories, but anything warm soothes you and makes you feel tranquil. the only thing with milk is it doesn't have caffeine or sugar that might keep you up [like hot chocolate or some teas] If you have green tea, white tea, oolong tea, those have very little caffee and usually help me sleep.
chamomile tea actually has something in it that calms your mind and body. try that as well.