Some answers, (they're free and worth every cent :)
how do i check milliamps at switch and why?
Second part of question first: Why? Ideally it can tell you the LED current*.
First part of question: How? Normally the switch connects the battery minus to the flashlight shell, so if you remove the tailcap (and switch) and use the amp meter to make this connection, then the meter will measure all the current the light is drawing. To measure, select the highest DC current range available (hopefully 10A or 20A) and place the leads in the proper jacks for current measurment. (If the meter does not have a current range higher than 1 or 2 amps then you should not try this test with a flashlight that you expect to draw more current then that - you'll ruin something.) Remove the tailcap and touch the negative lead to the negative end of the installed battery. Touch the positive lead to the bare metal lip of the flashlight. The light should turn ON and the meter will display the current.
I hope this sounds simple, as it really is a simple measurement. That being said, this test is highly influenced by the meter and lead wires. Both the meter and the leads have much more resistance than the tailcap and switch. This introduces a voltage drop that effectively lowers the battery voltage, and at lower battery voltages the light probably draws less current - so your measurement won't reflect what the light draws with the tailcap in place.
*If you can keep the meter and lead resistance extremely low (less than 50 milliOhms!), then this measurement will tell you the LED current - if the light uses linear constant current, resistor or direct drive. This measurement alone won't tell you much of anything if the driver is using PWM low or medium mode or if the driver is a Boost or Buck type DC-DC driver.
how do i test a batteries storage capacity?
I assume you mean milliamp-hour capacity. You would need a battery capacity tester, this puts a load on the battery and measures the voltage over a period of time till the battery is discharged. A nice thing to have, but testing a battery to find its capacity doesn't make it any better. I'd suggest investing in good batteries instead.
how do i check milliamps at the led?
This is tricky because you need access to the LED connections, essentially its done like the tailcap current except here you would need to disconnect one wire going to the LED and use the amp meter to remake that connection. As you can see this is easier said than done. And the same problems with meter resistance exist here too.
I have a feeling this wasn't what you wanted to hear, I'd be surprised if you were still reading this ramble, but if you need these measurements then you need to be aware of the limitations and influences of the test equipment used to make them. I've been bitten too many times by operator error.
Best regards, Crux