The first date
Once you have shortlisted the candidates, you want to invite them for a first real interview. With current technology this can take place over Skype, or on Google Hangout, or Face Time, or the traditional in-person way. Failure to use modern technology will give a bad impression to this generation, so make sure you test the technology first. Failure may well indicate to a Millennial that the company is not as up-to-date as they would like them to be. Depending on the number of applicants on the shortlist, you can choose any of these options.
As a guideline, online interviews are a good medium when both parties have a good Internet connection, so if this is poor then in-person may be your best option. Online interviews tend to be shorter than in-person interviews because the candidates and the interviewers tend to come straight to the point, whereas face-to-face situations are more polite and interviewers are expected to engage in settling visible nerves through small talk.