It's a two step process.
In step one change the model units from millimeters to centimeters and make the selection to keep values as-is. This makes the model units agree with the values you used.
In step two change the model units to mm and make the selection to change the values. This will rescale the numbers to match the change from centimeters to millimeters.
The unit selection used to be under File Setup or Properties; not sure where they are in Creo.