Steaming milk empties the boiler. You need to refill the boiler by running the group pump switch until you get steady streams of water out of the shower screen.
I always do shots first.
Lately i have been doing shots, then flicking on the steam switch, then the group head switch to do my group head and portafilter cleaning, then steaming milk and then cleaning and purging the steam wand. Then I always run the group head switch after steaming to refill the boiler.