dear son started to sleep thru at 12 week old iirc.. it depends on individual, some babie can sleep thru at very young age while some will only sleep thru at 5-6 mths old.
you can try giving him pacifier instead of milk, cos sometimes they ust want to suckle on something. but if he still cry after you give pacifier, then ut give milk. cos i feel that such things shdn't be 'forced'. they will sleep thru when they are ready.