OK, I haven't *actually* milked my own sheep yet, but I am going with what my friend who I bought my 3 dairy sheep from does, and what I plan on doing in a few months too.
She lets them nurse exclusively on the ewes for 3-4 weeks, taking all the milk. Then, milking starts at 3-4 weeks (this is when milk production peaks), where the lambs are kept with the moms either in the day or the night, you pick which one, when you'd like to milk, AM or PM. So the lambs will nurse for half the day. Then the milk generated in the other half of the day is milked. It takes approx. 3-4 weeks for the lambs rumens to be developed enough to consume enough grass/hay/grain to compensate for the milk.
Then, after 60-90 days, you can wean the lambs 100%, and milk 2x a day and have all the milk if you like. Or, you can keep lambs with them 1/2 time and keep milking only once a day (probably what I'll do, given all the demands on my time).