Milijas, who will face Zigic in Sunday's Molineux derby, is well aware of his qualities from being team-mates at Red Star Belgrade in addition to playing together for their country.
Zigic initially struggled after his £6million summer move to St Andrew's. But he scored the winner in the Carling Cup quarter-final win over Aston Villa and then laid on the equaliser for Craig Gardner in the weekend draw with Tottenham as a substitute.
Milijas said: "As I found out, it's always difficult to come from abroad and play in this league because it is totally different from playing in Europe. But Ziggy is starting to show what he can do now. I just hope he doesn't show it to us on Sunday.
"If he wants to go on and score 20 goals this season after the derby, then that's fine! In fact, he didn't start last weekend's game. I'd love to see him on the bench again! He is a very good goalscorer."
Milijas knows there will be extra pressure against one of Wolves' local rivals to come out on top and added: "At Red Star, we had big derby games with Partizan (Belgrade). They were massive games, absolutely crazy. We have to handle the pressure on Sunday and try and win the game. We need the points."