If you want to turn the Panna Cotta out onto a plate when set, first start by spraying your dariole moulds or ramekins with oil spray (I find dariole moulds easier to use). Wipe them with paper towel so there is only a light covering.
Pour the cold milk into a saucepan and sprinkle the gelatine over the top. Allow it to "bloom" for 5 minutes (it should look a bit wrinkly by the end). Turn the heat on low under the sauce and stir for a minute or two until the gelatine has dissolved.
Add the sugar and stir again until dissolved. This should only take another minute or two. Don't let the milk get too hot or to come to a simmer. It should only be just warm.
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