If you use LinqToSql, your DataContext is made from DB and your DB is set up with relations, you dont have to care about this at all. If there is a 1:n relation from Project to ProjectMilestones, your LinqToSql Class Project should have a Collection of ProjectMilestones, that you just have to fill.
You should be able to do something like:
Project pr = new Project();
pr.Milestones = new List<ProjectMilestone>();
pr.Milestones.add(new ProjectMilestone());
pr.Milestones.add(new ProjectMilestone());
DataContext.InsertOnSubmit(pr);
pr.SubmitChanges();