Hi, I was in the same situation. I got my pup at 4 almost 5 weeks and the breeder said they were feeding on their own which they were with regular puppy chow. There was an open-house at a Vet that I was looking into and the one thing they recommended was Hill’s Science Diet for puppies, but before feeding him we were advised to soak it in luke warm water and completly soften it. It seemed to work fine. But the vet never said anything about milk. I would think it would be a good idea to give him some milk. Also make sure he is socialized. We were luck because my boyfriends sister got his brother so when we first got them they were always together. We try to get them to see each other every couple of days, which helps.
Also we tried crating him when we first got him next to our bed and he would wake us up with the crying. I ask my vet and she said it is fine for him to sleep in the bed, just be extremly careful and make sure there are puppy pads EVERYWHERE lol. But I would never ask for anything differnt he is going to grow up so quickly!