Hello. In Milan there are 2 airports (plus 1 in Bergamo). At Malpensa, where you will probably land, there are no official phone shops. There are 2 at Linate airport (3 and TIM).
BTW you will find phone shops everywhere in Italy, it's really not a problem.
Wind has a very easy and good solution for data, as you stated. It doesn't have a very widespread 3G coverage, unfortunately, and has EDGE not everywhere. GPRS is available everywhere. GSM coverage is quite good.
If you want the best GSM+3G coverage you should go with TIM.
Stay away from Vodafone and also from 3 since its coverage is quite limited and when you roam on TIM you pay extra for data.
So take a look at Wind and TIM offers and choose which one fits you best. IMHO Wind has better options, while TIM has better coverage. Hard to choose!
If you go with Wind just go to a Wind shop, buy a card, activate it dialin 4242 and setting English prompts, refill it and ask the clerk to activate one of the 2 data options. Then WAIT for the comfirmation SMSes: one will tell you the system received your request, then you should receive other 2: one telling you they took you 9 euros and another tellin you the option is active. DON'T use data before you receive these messages or you'll pay A LOT...
P.S. NO, don't try to buy a card out of Italy, buy it here, it's easy, fast & cheap.