History has always said that she did. It made her sound very decadent to the stoic Romans, which was the intention of every word their historians wrote about her.
But, if she did, she was not alone. WOmen have used milk for baths (rich women) for a long time. It probably wasn't a total milk bath, but water with milk added to it.
I found a recipe online:
Cleopatra was famous for her beautiful skin. Her secret was that she soaked in baths of fresh milk.
SIMPLE SOLUTION: Modern laboratories now know why milk worked such wonders for her skin: the lactic acid in milk is an alpha hydroxy acid, a natural material that dissolves the glue that holds dead skin cells together. Milk can cleanse the skin down to its deepest layers.
This secret beauty formula couldn't be simpler. Add 2 to 4 cups of fresh milk or buttermilk to the bathwater as the tub is filling. Soak for a good 20 minutes. Gently rub your skin with a washcloth or loofa to slough off the dead skin. Rinse your body thoroughly after soaking.
http://www.care2.com/.../...bath-formula.html

i dont think that it was that bad. they added milk to their bath water and rinsed off pretty good but she did look fine

A milk bath will stink if you leave it out for like a day. Still it's pretty common practice to take a milk bath. Try it. it's not all milk. Honey is in it too.