Millie and Mr. Socko are Agent Jay Thorntree's sock puppets. She improvises them on the spot during "Why Am I Here." They talk about cheese. And violence. And do not like people walking out on their lectures. The pair make a brief reappearance in "All Souls Night," where Jay has apparently taken to carrying them around in her pocket. At one point, Jay claims they are employed by the PPC. Knowing the Laws of Narrative Comedy, it is therefore only a matter of time...