Millington wants to see Town build a decent run of results as they return to National League action at Yeovil on Saturday
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The Shaymen lost 4-1 to Middlesbrough's under 21s in the National League Cup on Tuesday night.
But they resume a league campaign this weekend that has offered encouragement in recent weeks and sees Halifax sit just two points outside the play-off places.
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Hide Ad"We wanted to win the game (against Middlesbrough) and that's what we set out to do, and I'm very, very disappointed we didn't," Millington said.
"But the league's a different animal and we've had two very good performances against top teams in Rochdale and York where we didn't get anything.
"Then we've had two battling performances either side of that against Boston and Woking where we've kept clean sheets and come out on the right side of the result.
"We know we're in a good place in terms of our league form and we've just got to maintain that now and start to build a decent run of results."
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Hide AdYeovil were promoted from the National League South last season, having been relegated from the fifth tier the season before, and have made an impressive return to the division, occupying the final play-off spot, one place above Halifax.
"Never an easy place to go and because of the season they're having so far, we've got to treat it like the big game that it is," said Millington.
"It won't be easy and we'll have to be at our best to get anything from it."
When asked if he was surprised to see The Glovers so high up the table, Millington said: "No, not really, they've got a good manager, they've got a good squad, they recruited well.
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Hide Ad"They've got the resources to be able to bring in quality in the right areas and they've done that so it's not a great surprise, no.
"They're a team who we'll be competing with right throughout the season for one of those play-off spots."
If Town lose and Rochdale win, The Shaymen would find themselves five points adrift of the top seven, but Millington says it's too soon to be thinking about such scenarios.
"There's such a long way to go," he said.
"There's a chance we'll have a wobble along the way and other teams will have wobbles along the way.
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Hide Ad"If anything, this league just seems to get tougher and tougher in the sense that any team can beat anyone else on the day.
"We know that teams are going to drop points, we're going to drop points but we've got to make sure that we're solid and we're giving ourselves the opportunity to win games, firstly by keeping clean sheets and then by taking a higher percentage of the chances we create."
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