Is it possible to associate a Task with a Milestone without creating a TaskList please?

When creating the task there's no such option (or at least I am not able to find it). When you click on the created task, however, on the right hand side there's a field that says Associated Milestone: None (please see the screenshot attached). This field doesn't seem to have an edit option? 

Can someone please advise?

Thanks in advance,

Lina