I only use milkshape too.
Well, for animating and some other things, but yeah.
When you click the Cylinder tool, it has 2 options:
Slices and Stacks
Slices determine how many sides your cylinder has. Since it would be impossible to create a perfect circle, yes, cylinders do have sides. They're more like prisms. With more slices brings more quality, but more polygons.
Stacks allows flexibility in the model. If you don't want any bends, use 1 stack. This will reduce the polygons greatly. However, if you want all sorts of bends (either in making the mesh or animating) then use as many stacks as you need, but only as many. Or else you have a bunch of useless polygons stuck in the middle that do nothing.
--donut3.5--