All we get is ladybugs and cluster flies twice a year here. I don't think I could handle millipedes! Thinking about them makes me want to do a creepy bug wiggle.
I dunno about how to keep them out. We heard about menthol for ladybugs but that only worked a little bit - apparently they hate the smell. Could be a last ditch effort if you don't find anything else. Do millipedes have a sense of smell???