Heck yes! I used to live there, and I played at
TBS Comics in Pensacola:
http://www.tbscomics.com/
Highly recommend it. They also have a store in Fort Walton Beach. The P-cola store is in the northern part of the city so it's fairly close depending where in Milton you live. Very nice store, and a great group of people (at least when I was there). I think Saturday is still the
40K day in Pensacola.
They run a tournament in FWB called Coastal Assault every year in Jan-Feb timeframe that you should check out if you're into that, there are also other groups that put on tournaments in Mobile and Biloxi.
I believe there is also a group that meets/plays in Crestview, but I don't really know anything about it.