No need to rinse millet. You can toast it first for a nuttier flavor, or not.
*Optional: To toast, heat a skillet over medium heat. Add millet, stirring frequently. It will start popping and begin to smell fragrant and golden brown (about 3-5 minutes). Do not let it burn! Remove from heat and pour into a glass bowl to cool, or immediately pour into a large saucepan of boiling water.