My first experience with a raw chili, or whatever that little rascal was, made me run from my art class outside on the street and stuff snow into my mouth.
But then I got better.
If you want to weaken the heat, which you feel due to the thermoreceptors on the tongue, it is advised to consume food containing menthol. Peppermint menthol affects the cold receptors and therefore negates the heat. No use drinking water - spicy essential oils do not dissolve in it. I don't know about milk, but it does work as well, especially coconut milk, which isn't, well, milk.