Yes, several times. Mostly just as an experiment in simple living, because frankly, unless or until the cost of buying staples such as grains and dried beans goes through the roof, it's not economically practical to devote so much time and effort to something that is so cheap to buy at the grocery store. I've grown several kinds, Proso, foxtail (especially S. italica), and Japanese Barnyard. I generally just used either birdseed or purchased from bulk bins at places like Whole Foods to start these sorts of grains.

Harvesting of millet is actually much easier than other grains, because the heads are large and easy to pick, and generally won't shatter if they're not too overly mature when you harvest.

To extract seeds, I find it's easy to put grain heads of various kinds into a plastic kiddie pool and then stomp on them gently with clean shoes. That does a pretty good job of separating the grain from the bulk of the chaff/debris.

Millet is extremely easy to grow, culture is essentially the same as for corn, but the plant is somewhat more drought tolerant.

How did you then winnow it?

The old fashioned way, pouring it back and forth between big plastic bowls outside on a windy day. That's how I've done all of the various grain and seed crops I've tried.