Alan Archibald's side kick off their post-split fixture schedule against Kilmarnock this afternoon as they bid to move out of the relegation play-off zone.
The Jags are just four points adrift of seventh-placed Hibs in a congested top-flight table ahead of the final five games this term.
And defender McMillan reckons the Firhill side will thrive on the pressure as they battle for crucial points in the coming weeks.
He said: "It is down to the nitty-gritty now but I am looking forward to it. We knew it was coming. Being in the bottom six was inevitable and we are in the play-off spot.
"Eight months of hard work is boiling down to our last five games. We have five games to save the season.
"You have to enjoy it though, even though we are in the play-off position. We cannot dwell on results as we can't affect that now.
"You do enjoy it because if you can't enjoy it then there is no point in playing. It is nerve-wracking to think Partick can go down via a play-off.
"We are unfortunate to be in that position as it would be good to be in the bottom six and comfortable but we are not.
"No team is comfortable though in the bottom six and we take heart from that. They are all beatable too but Partick are where we are and we have to get on with it."
While there is a five-way fight to avoid the play-off spot, the automatic relegation berth has already been taken by Hearts after a campaign to forget at Tynecastle.
Gary Locke's youngsters have been at the foot of the table all season and their place in the Championship was confirmed despite a 4-2 Firhill win a fortnight ago.
The Jambos moved a step closer to exiting administration this week and former Rangers and Dunfermline star McMillan has sympathy for the Gorgie squad.
He said: "It was bad that Hearts got relegated but they can now play with freedom now and they will take points off others.
"I felt for the Hearts boys waiting on administration news and liquidation as I have been there with Dunfermline last season.
"We did not hear much at all and boys were missing mortgage payments and car payments and it was horrible to be honest.
"The manager Jim Jefferies was very good to us and he tried to help us through it and we understood that we had a duty to perform for the football club. Jim told us everything that he found out.
"I am glad that Hearts have got that closure now and that a lot of the players will keep their jobs."
The financial trauma at Tynecastle is the third to hit Scottish football in a couple of years following the money problems at Ibrox and East End Park.
McMillan was one of the Pars players who was sacked last season and is pleased to finally have some off-field security as he bids to retain Thistle's top-flight status.
He said: "I could have gone down with Dunfermline and that would have been hard to take but I came to Partick and ended up with a league winner's medal.
"The club is well run but Scottish football has to start looking at owners of clubs more thoroughly. What happened at Rangers, Hearts and Dunfermline financially was totally wrong.
"Rangers and Dunfermline have kicked on since those days and I am sure Hearts will, too. Administration felt like the norm to me after what had happened at Rangers just as I was leaving and then at Dunfermline.
"I shouldn't say that but it did feel like a normal state of affairs.
"I was quite glad when I came here and I was checking my wages for the first few months."