We have never flown into Milan, but out 2X nonstop to JFK on AA, so here's what you do on the return and then you can just reverse it. If you are facing the central/main train station (Stazione Centro), to the right is a small parking lot with a few buses and a turnabout. Those buses are going to MXP. There are usually at least 2 there and once they fill up, they leave--about every 15 minutes. cost is 7 euros (buy ticket on the bus) and it takes you directly to the airport--about 35 minute trip without traffic (AM you are going reverse to rush hour to get out of city--in AM going into city, it would take a bit longer). It is a nice bus, reclining seats, clean.
MXP is medium sized, very easy to get around. For arrivals, you would get your luggage and ask anyone where is "bus a stazione centro de train/trenitalia," but most speak English, as well. There is also a train that now runs as well--but it does not leave in early AM to MXP and the bus is so easy, I just take the bus.
We always train to Milan the day prior to leaving, and have stayed at the Hilton and Starhotels Andersen. Starhotels is next to the bus and down the square from a decent restuarant--a safe, 5 minute walk. The Hilton is a bit farther on the other side.
Taking the train from Venice is easy. It's 65 euros for 2 persons--train 2X an hour--go to ticket counter and ask for next fast train to Milan--no need to buy advance tickets. Takes about 2 hours, pretty ride thru Vicenza, Verona, Lake Garda area.