Pretty much... No, not currently possible. You can have as many meshes in Milkshape as you like, but only one of them can have joints and be animated.
I realize this is a really old topic, but in case anyone is interested you can actually have more then 1 mesh with it's own bones and animations in Milkshape at one time. The process is quite easy but tedious. You have to load the first mesh, rename all of the bones, I have experimented with simply adding L_ before all the names. Once done, you can import the 2nd body that retains the original bone names. (I was using the smd importer with Miche's base mesh)
Not sure about Wes's but I don't see why it wouldn't work unless there is some underlying issues. I've only recently began tinkering with the animation process and was here checking out what others have said when I saw this.
The only down side is, it doesn't work for saving them out. Forgot to say that. But it works great for seeing the animations work together.