What should i do if i have a milium (milia) in my penis?

Nothing: Milia can occur on the penis, but as these are just small deposits of sebaceous oils, they do not require treatment unless they become large and uncomfortable.

Watch it for change: There's really nothing to do with these. They are a normal finding and messing with them can lead to infection. If it changes in any way, get it checked to be sure it is just a milium.

Yes.: This is actually a common condition--the bigger ones are even classified as epidermal inclusion cysts.