They were supposed to be debating milk, but conservative Republicans who now control the Senate could not resist the temptation to give their new president a little jolt yesterday on another subject -- the Soviet grain embargo.

In the extended and complicated debate over the milk price support program, several farm state senators who fervently oppose the embargo saw an opportunity to express that sentiment. Sen. Edward Zorinksy (D-Neb.) proposed an amendment to the milk bill requiring President Reagan either to end the embargo, announce his plans to negotiate a new grain trade agreement with the Russians, or explain why it would serve the national interest to do neither.

The Republican leadership opposed the amendment, not least because it would encumber and perhaps kill the milk legislation, which would permit the Reagan administration to skip a scheduled April 1 increase in milk price supports. If the bill isn't passed by both houses by a week from today, the price support increase will go into effect, adding $147 million to this year's federal deficit and embarrassing Reagan in the first legislative test of his budget plans.

But there was strong sentiment in the Senate for Zorinsky's proposal, and Majority Leader Howard H. Baker Jr. (R-Tenn.) apparently felt he had to offer a sop of some kind to assuage it. So Sen. Roger Jepsen (R-Iowa) offered a nonbinding "sense of the Senate" amendment to the milk bill expressing the view that the grain embargo imposed by President Carter after the Soviet invasion of Afghanistan "should be terminated" at once.

After no debate, the Senate approved this resolution 58 to 36, with four Democrats voting "present." Of the 58 senators who voted against the embargo, 44 were Republicans, including most of the conservative and hard-line Republicans most closely associated with the new administration.

President Reagan also opposed the grain embargo during last year's election campaign, but has left it intact as president. Administration officials now say that because of events in Poland and other new considerations, lifting the embargo would send the wrong message to Moscow, particularly when the new American government is trying to look resolute to the Russians.

No Republican rose to express that view yesterday. Baker and Sen. Paul Laxalt (R-Nev.), Reagan's closest friend in the Senate, both voted against the embargo.

Senators who supported the resolution against the embargo apparently felt it would do no damage since it had no legal or binding effect.

The administration's effort to hold down milk price supports appears headed for success, though the deadline of next Wednesday might still create complications. The House is scheduled to vote on the measure tomorrow and Speaker Thomas P. (Tip) O'Neill Jr. (D-Mass.) predicted yesterday it would have "smooth sailing."

An amendment designed to harass and perhaps undo the administration's effort was defeated by the full Senate yesterday.The amendment would have limited imports of casein, a powdered milk protein product used to manufacture a wide variety of products in this country, but not produced in the United States.

An initial effort by Baker to kill this amendment on the floor last week failed, raising the specter of administration defeat on this first legislative test of the Reagan budget-cutting crusade. But many senators reversed themselves yesterday, voting against the casein amendment that was introduced by Sen. John Melcher (D-Mont.).

The casein amendment did not bear directly on the question of skipping the April 1 increase in milk price supports. But as its backers knew, Senate approval of the amendment could have hopelessly muddled efforts to get the identical piece of legislation through the House and Senate by April 1.

The staunchest proponents of the Melcher amendment were senators who had aligned themselves with the resourceful dairy lobby, which stands to lose the most if Reagan wins a clear victory. The three largest dairy farmer cooperatives contributed $1.2 million to House and Senate candidates in 1980, an investment that now appears of dubious value, at least in this contest over the April 1 price support adjustment."

Baker hopes to get final Senate action on the bill by today.