Is it possible to set wget to show the transfer times in milliseconds?

You can run time wget ... to get a real time estimate for a transfer from start to finish.

The total average transfer rate and the total bytes transferred are also part of the output.

2010-02-04 09:18:48 (71.5 MB/s) - `index.html' saved [8105/8105]

8105 bytes / 71500000 bytes/sec ==> 0.0001133566 sec