Getting chili in your eye is extremely painful. I sympathize because it has happened to me more than once (you’d think I learnt the first time). Your friends’ advice to rinse it with milk was spot on. It is indeed the most effective way to neutralize the sting of chili. Using a shot glass or an eye bath to keep the milk in contact with your eye for a while works best. I have also heard that you can use olive oil or sunflower oil to rinse the eye as well, but I have never tried this myself. Use gloves when chopping chili or rub your hands with a bit of oil afterwards to prevent it from happening in the first place.