And probably dieing shortly after they get indoors. So nothing to spray etc.

The usual suggestion to limit their entry is to pull mulch away from the foundation, about 12 inches or so. Also maintain an air space between house and plants.

Understanding the conditions that Millipedes need to exist can help understand why they are where they are. Like many other insects Millipedes need a relatively moist environment to live, as well as a food source (they are digesters of decaying organic matter), so the start of any control program involves determining where those conditions exist (inside your house) and correcting those conditions so the habitat that attracted them is eliminated. Then look for, and seal, points of entry into your house, where and how did they get in, because if the millipedes got in so will many other, less desireable critters.