Steeping coffee in milk
When my husband and I were trying to make good coffee ice cream, we did just that -- steeping the coffee beans in milk. It worked quite well. 

If you have a French Press, you can use that with coarsely ground coffee beans. Heat the milk to a simmer or even a very low boil, and then use it in place of water in the French Press. This was how we got the best results for our ice cream. 

You can also get good results from whole beans. Heat the whole beans in milk in a pot, and then let sit in the refrigerator overnight. Strain out the beans, and you'll have strongly coffee-flavored milk.