1mOhm is certainly at the bleeding edge for that sort of current. I can understand that you want to minimise voltage burden but it's probably a step too far. My rule of thumb is to keep the burden at around 10mV in the current range you're interested in, although I do use a 1uV resolution meter. The burden of a standard 100mOhm DMM shunt is too high for most psu applications. Using a separate shunt, as you're doing, is definitely the preferable method.
I would be looking at 10mOhm for 0.5- 2A sort of measurement range. These are easier to find in 4 terminal configuration with reasonable (1%) accuracy.
Edit: I should qualify all of the above with 'where the burden voltage is a consideration'. Obviously for something like a 1.8 or 3.3V rail, 100mV drop would be excessive. Much less so with regulators being powered from a bench PSU.