Welcome to Yorkie Talk. Where does Milo stay when you leave home? If he has free run of the house, I would try keeping him in one room. Choose one of his favorite rooms and close the door. Sometimes dogs are overwhelmed when they feel like they have to "guard" the whole house.
Second, make sure he has a cozy place to rest and put one of you tshirts and sweatshirts there, one that has your scent on it. Many pups are comforted by the scent of their humans.
Third, don't make a big deal when you leave. My guys are reassured if I tell them I'm going to the store or "I'll be back in a bit." Establish keywords that your dog will learn to associate with you coming back....and when you are coming back.
Most trainers will say not to make a big deal when you return home, but I break this rule.
You may also try soothing music (Through a Dog's Ear CDs), leaving the TV on, or other familiar noises for when you are home.