Changing flights in Paris CDG

You will go through Passport Control (immigration) upon arrival at Cdg. Then you will transfer from your terminal of arrival (likely terminal 2E) to the terminal of departure for your intra EU flight (likely Terminal 2F if you fly AF to Milan Linate). The transfer btw terminals will be aboard a shuttle bus on the Tarmac (unless you want to walk, which I don't recommend, because CDG is huge although 2Eand 2F are across the roadway from each other). If I'm right on the terminals the N2 shuttle is faster than the N1. At terminal of departure for Milan (2F) you will go through security (metal detectors) again before boarding to Milan. You will not retrieve your luggage in Paris. The bags will be automatically transferred to your Milan flight and customs will be in Milan, after you retrieve your luggage at the carousel. If you have nothing to dclare, just walk out. Italian customs officers (wearing a gray uniform) may ask you where you are arriving from but are unlikely to check your bags. Traveling business class will not earn you any special favors with security or immigration.

http://www.aeroportsdeparis.fr/ADP/en-GB/Passagers/Home/