Can you drink milk before taking Xanax and will you still feel them if you drink milk?

Milk will not have any adverse chemical effect on the effects on Xanax.
If you will want to counteract the effect on Xanax, I would suggest drinking sips of an energy drink every 5 minutes. start to drink 50 minutes after you've swallowed the xanax.
this is so the caffeine will counteract at the same time when the xanax kicked in.

you could also have a nicotine e-cigarette, an hour after you've swallowed the xanax. (i do not recommend this one)