Ant powder does the trick.
Put down a perimeter of ant powder on the ground very close to the bottom of the walls of the house (so the rain won't wash it away) and it will kill them when they try to go up the walls. You can also squirt the powder into any millipede nests and that gets rid of a good few of them as well. I'm told boiling water will also kill them on the spot, but it's a once-off obviously. You can also get a liquid spray (looks like a kitchen spray bottle), whcih can be used to spray on windowsills, etc. and and other points of entry. This will keep them from coming into the house, they're horrible looking things although they are harmless.
Millipedes feed on leaf debris, etc., so make sure the area around the house is free from any organic matter like that.