I used to love making GM soaps but It's been a while now...
When I was in the swing, I always tried to prevent scorching, gelling and overheating. I soaped as cool as I could, and often used frozen GM cubes. I never insulated; in fact I often refrigerated or froze the molded soap trying to prevent overheating. But I always used a loaf mold, not cavity molds, so it's a different situation. You probably don't need to worry so much about overheating with single cavities (although 100% milk may still get cookin'; I only used 50%). I definitely would not CPOP (oven process) your milky way molds, but if you want to experiment, you could try insulating to see what happens, especially since it sounds like you make small batches. But I'll tell you, I loved my ungelled GM soaps... they're such creamy goodness!
Hmmm, why did I stop making them??