Milles and Dr. Pococke set out on their second grand tour, this time visiting the Low Countries, Germany, Austria, Poland and Hungary.
Milles returned alone in 1737 to attend the bishop, who was suffering from "the Gravel" (gallstones), leaving his cousin to continue his voyage to the East.
Detailed accounts of their travels survive in a large collection of letters to Bishop Milles and Mrs. Pococke, as well as in a number of note-books, all in the British Library.
Lyttelton was President of the Society of Antiquaries, and had started a period of renovation of the fabric of Exeter Cathedral.
He was careful to be present when workmen lifted the slabs but nevertheless did not observe one of them slipping into his pocket a sapphire ring found in a coffin.
The sharp-eyed bell-toller informed him of the theft and Milles wrote to Lyttleton about the incident: "The workmen I daresay took me for a conjuror for I told them there was a ring taken out of the grave, that they must produce it, and the guilty person immediately drew it out of his pocket".
His next project was the re-glazing of the great west window with armorial glass made by William Peckitt of York between 1764 and 1767.
[9] The 120 numbered questions on two folio sheets[7] were very detailed and varied, and concerned the history of the parish and manors within it, the armorials of the leading families, the geology, archaeological remains, colleges, hospitals, agriculture, etc.
[2][c] A microfilm copy of the returned questionnaires and a second series of "parochial collections" is in the Devon Heritage Centre in Exeter.
Milles was a pioneer of the circulated questionnaire, and until the end of the eighteenth century was the most successful user of the technique as a research tool.
In June 1754 he read out at the Society a pamphlet entitled "Queries Proposed to Gentlemen in the Several Parts of Great Britain, In hope of obtaining, from their Answers, a better Knowledge of its Antiquities and Natural History".