Inexpensive albergos, pensions, or hotels in Milan and Siena for solo traveler mid- Oct. 2017

Always wise to book hotels in a city such as Milan. Siena too probably or you may end up outside of town.

You can wing it in Milan. I did not have a reservation May 2017 and managed to get a room same day. But you need to have internet access to your favorite site for booking hotels. And I think Monday-Thursday your chances are best.

In Siena I highly recommend Alma Domus...it's run by an order of nuns and is very inexpensive, breakfast included. I just had my son staying there for 3 nights and he loved it! Ask for a room with a view...you won't be disappointed. Paid about 150 euros total for 3 nights.

I wouldn't wing it in Milano in October because it's a big convention time of year. Try Hotel Garda, near the train station. A single without breakfast is very reasonable, they sometimes have a 10% discount for cash payment. Have breakfast at one of the coffee bars at Milano Centrale.

I agree with the rec for Siena.

Re: Milano in mid-October, I also wouldn't wing it as stated above. Our rate in Sept. was about 60% of the price wanted for mid Oct. due to conventions. I believe that the more affordable hotels will be sold out.

Another vote for Hotel Garda in Milan - perfect location to get on public transportation or you could even walk to the Duomo (through the park) from there.
There is another hotel right across the street from Garda;
Hotel Berna (slightly higher rate)
But,
location for both is ideal IMHO.

Winging it in Milan is risky, unless you check in advance that there are no major conventions or trade shows in town. If there are (and Milan is a major center for these), many places can be sold out, and those that do have room can have very high rates.

I ran into this problem in March 1989, the one time I traveled without any reservations. My first pension was a bit of a dive (places in my guidebooks that sounded better were full), so for my last night, I wanted to try to book something better. I went to one central, highly rated pension and asked if they had rooms for March... I started fumbling with the exact date, but before I could give it, he said there were no rooms for all of March - or all of September (fashion shows). I was on a low budget, but had to increase it to find something decent for that last night.

Remember, this was pre-internet, so it was much harder to make advance reservations than it is now - meaning that small, desirable, good value places are much more likely to get booked up in advance. It's never a "must" to prebook a hotel, as long as you don't mind accepting what's left. If you arrive during a convention or other peak time, that can mean either not nice places, or much more expensive suites and the like (I just ran into that in Bilbao, where a place that Rick said usually runs €200 only had suites left - for €700!).

I've traveled a lot in Europe, both pre- and post-Internet. The city where I had the greatest difficulty finding an inexpensive room at the last minute was...Bologna. It's a business city, and I guess it doesn't (or didn't) have an excess of hotel rooms. Twice I arrived in town and had to get back on the train for want of a room I was willing to pay for. Having (finally) learned from those first two experiences, I booked my 2015 stay quite a few days in advance and finally got to see Bologna. Got a good deal in a business-class hotel, I presume because I was visiting over a weekend.

With that background, winging it in Milan would scare me.