I wouldn't worry about pre-booking the Nice-Monaco sector because this is a frequent and regular sector. However, I would think it wise to look up the train times between Monaco and Milan (I would use Deutsche Bahn's site, because it does good international routings and has a section in English) before you set off, from the comfort of your own home.

You can then decide which train to take, and go to Monaco railway station a few days before you decide to travel and then show them the printout (with the train numbers) of your preferred train. That way you can avoid language problems, and I would recommend you reserve seats, because it's a busy route, and there will be a lot of passengers in the summer. You can then buy your tickets calmly, and then set off for the station in good time.

Please remember that you need to 'composte' your tickets (validate) BEFORE you get on the trains in France (and in Monaco too I would think). These are the orange or yellow plastic boxes at the entrance to the platforms - they stamp your ticket automatically - and if you don't, you will be fined on the train! Oh, and bring some water for the journey!!

Ok thanks for the advice