Guys, I'm a current SDA student. Here are some things you might want to note (for Indian candidates, atleast):
1. You'll have to get a Codice Fiscale (Italian Tax Number Code - Only the "code Number" is enough to know, you don't need the card.)
2. You would need a one year insurance. I got one from Bajaj Allianz (Student Companion Plan). You may get an equivalent one it from anyone else in India or get it after coming to Italy.
3. You would have to get a Permesso Di Siggiorono (Permit of stay) Card.
4. You may chose to open a bank account in Milan. The monthly fees charged by banks is ~2.5EUR/Month. Or postpone opening the account to, say the internship time.
5. You would need a house. Of course

. You'll have to find a house after reaching here. So book a hostel/hotel for say 4 nights before coming.
Hotel Milano zona sud, Hotel shopping tour Milano, Albergo tre stelle Milano, Hotel vicino ospedali Milano, Hotel sta****e centrale Milano, Hotel Milano concerti is a good option I think.
Get these things:
- One Laptop, preferrably only upto 14".
- Buy one good dress suit (would be enough, to start at least); instead of two, say, cheaper ones. 2 good white shirts/light dress shirts.
- A bag to carry to school. (to carry Laptop + Notebooks).
- A smartphone. Preferrably one that has good maps.
- Utensils are given in most homes.
- Ciggarettes, if you smoke. It's 5 EUR a pack here.
- Some stationary. Toiletries.
- Some warm clothes for home/school, during winter. Hoodies and all. It was colder than I expected.