I've tried to give both of my CMPI kids a bit more dairy baked into things. It looked like DS was coping but after a few days he was up half he night screaming and scrunching his legs up under his tummy. DD seems to be coping okay though.
So she has croissants and tiny teddies and golden piklets and all have dairy in them. I haven't been game enough to give her chocolate or cheese or butter or milk as a drink.
Both of them have soy as a substitute. There's some good Sou yoghurts around and coconut yoghurts. I steer clear of cheese alternatives usually as they taste like rubbish, but there is a coconut oil version I've bought before that she liked. I can't remember the brand but it's made in Greece.
I also use nuttelex instead of butter / margarine.
Cakes are easy to make without dairy, just use nuttelex instead of butter and soy milk instead of milk. Soy milk in pancakes too - you can't even taste the soy in it.
You can make a creamy sauce by making a roux with flour and nuttelex and soy milk and that goes well on pasta or veggies.
ETA: DD has just turned 4 and DS is 19 months.