If you're using milliput, make sure it's fresh, buy from a supplier that has a high turnover - stuff that's sat around for too many years either at home or on a store shelf is crappy to work with - crumbly and dry. There's also the super fine white which has a less grainy texture.
Personally I'd stick to apoxie and the two part green stuff for miniature modelling (yellow/blue) which is very flexible. Milliput has very little flex once hardened, which may or may not be a good thing depending on what you're making. Very thin pieces of it also tend to break easily. I use my milliput mostly for casting pieces and bases.