Nanofibre-based optical cavities are particularly useful for quantum optics applications, such as the development of integrated single-photon sources, and for studying fundamental light-matter interactions in cavity quantum electrodynamics (cQED). Although several techniques have been used to produce such cavities, focussed ion beam (FIB) milling is becoming popular; it can be used for the fabrication of complex structures directly in the nanofibre. However, it is challenging to mill insulating materials with highly curved geometries and large aspect ratios, such as silica nanofibres, due to charge accumulation in the material. In this article, we highlight the main features of nanofibres and briefly review cQED with nanofibre-based optical cavities. An overview of the milling process is given with a summary of different FIB milled devices and their applications. Finally, we present our technique to produce nanofibre cavities by FIB milling. To overcome the aforementioned challenges, we present a specially designed base plate with an indium tin oxide (ITO)-coated Si substrate and outline our procedure, which improves stability during milling and increases repeatability.