Andrew,
Yes, it is possible to upload Milestones and Tasks along with the Project data. Here is the URL to our documentation that contains examples...
http://usermanual.clarizen.com/16-5-data-loader
For further clarification, we suggest you register for one of our Office Hours - Advanced Configuration Webinars (see the link-> http://www.clarizen.com/resources/online-demo.html#second ).These are great resources for free consulting with our Customer Success Managers and visual answers to your questions.
Sincerely,
Boris