I absolutely cannot find any solid answer on the origin of milk and cookies. Or rather, the origin of dunking cookies in milk.
Some of the sources say that it was the result of a marketing campaign, some say it's just a tradition that cropped up, some say it was just obvious, others blame Santa Clause. At the very least the Santa Claus one is wrong.
The closest that I've been able to gather is that it most probably stems from the British custom of dunking biscuits (for those of you whom don't speak British, 'biscuit' in this context refers to a type of cookie. Yeah, I know, I don't like it either but whatcha gonna do. Crazy Brits) in their tea. From there it made it's way to America, but since we threw all of our tea into Boston Harbor, we decided to find an alternative. Water adds nothing to the cookie but sogginess, and really, we would just eat cookie dough if we wanted that (Not that we don't, but dunking it in water would add the unnecessary step of actually baking the cookie first). So the only options left at such a primitive age were alcohol and milk. Considering the only thing you should dunk in alcohol is a cherry, that left milk.
People realized it was delicious from there and started doing it. Then when mass produced cookies came along, companies like Nabisco started marketing the product in conjunction with the trend of dunking it in milk (Take the recent Oreo slogan into account 'Milk's favorite cookie') and it became a national sport from that point on.
Unfortunately this has proven to be a lot harder to track down any concrete evidence than I would have hoped. Which is too bad, because I wanted to publicly thank the person or company or whatnot that it originated from, as it led to the eventual creation of Cookie Crisp, which as of late has comprised 70% of my diet.
So cheers to you, initial cookie-in-milk dunker. May you have a special seat in the heavens.