You can grind your own millet flour from millet seed in a blender or coffee mill. If you buy the seed already ground into flour, make sure the supply is fresh — it can go rancid quite quickly. The flour will have a creamy-white or pale yellow colour.
In yeast-risen breads, you can swap in from 1/2 to 3/4 cup of wheat flour for millet flour. In other baked goods that aren’t risen with yeast, up to half the flour can be millet flour, though millet flour can make baked goods crumbly and dry if you use too much of it.
Store millet flour in freezer. If it develops a slightly bitter aftertaste, discard it because it is starting to go off (it will be the protein and the oils in the flour going rancid).