Saute Fennel: In the large sauté pan, heat the olive oil over medium heat. Add the sliced fennel and cook until golden brown and fragrant (about 5 minutes).
Add Millet: Incorporate dry millet and continue sautéing for another couple of minutes, stirring occasionally.
Add Wine: Pour in the sheery wine, stirring well to combine with the millet and fennel.
Season: Add salt and adjust to taste, then cover pan and allow to simmer until millet is fully cooked and flavors meld (about 20-25 minutes).
Serve: Once ready, portion out servings and enjoy warm.