Well, there is two major option for cheap travel Geneva-Milan and back:
1) to purchase in advance discounted international ticket Geneva-Milan and Milan-Geneva (
https://www.sbb.ch/mct/wi/shop/b2c/pipSchritt_0.do), they are sold for direct trains and cost from 25 CHF, which is rather good value since full 2nd class fare is 63 CHF.
2) to purchase Swiss domestic ticket till last Swiss station before the border and Italian domestic ticket from first Italian station till Milan. In your case it will be Geneva-Brig and Domodossola-Milan. SBB recently renewed so called SuperSaver ticket offer (
http://sparbillette.sbb.ch/home/?lang=4), thus is exactly what you want to use here. While Italian leg Domodossola-Milan is anyway cheap, only 7.95 EUR when traveling on regional trains (for timetable
www.trenitalia.com). Also it would be nice idea to have some ticket for the short crossborder leg Brig-Domodossola, here you as well can use SuperSaver ticket.
Obviously first option seems much easier and faster since you can use direct train without combining multiple tickets.