You may want to feed them millet from outside of the cage first. Sit next to the cage without looking directly at them. Place a piece of millet next to a perch and allow them to come to you. Once they are comfortable with that, you can move on to providing food from the cage entrance. Don't put your hand inside the cage, simply leave it at the door with millet. It may even help to have a couple of perches around the door if they do not feel comfortable coming to the door directly.
If the door is a swing-out kind, you can even place a perch on the door, and once they get comfortable coming to the door, you can get them to sit on the door and slowly open it, or leave the door open and encourage them to come to the perch on the door for a reward.
I did this training with budgies...
[ame=http://www.youtube.com/watch?v=fUx81WHTUwk]1 Bird in hand Leads to Many - YouTube[/ame]
[ame=http://www.youtube.com/watch?v=AlSm4uFZzVU]More Budgies!!!! - YouTube[/ame]
And similar training with cockaitels. I actually never planned on doing this with my tiels, but I had a female cockatiel that would follow me around the room in the morning when I was handing out food dishes, and she even landed on me once. At first, I thought she was my tame girl (although feeling heavier than normal) until she took off and I turned to see that it was not in fact my tame girl, but another one. Even though I was handing out dishes full of food, she was demanding me to feed her by hand. I don't know why... The following video shows when she felt confident enough to fly to me without hesitation.
[ame=http://www.youtube.com/watch?v=q88bN30qOjo]Sunshine in the Morning - YouTube[/ame]
Which led to another cockatiel, much more shy and hesitant, demanding the same behavior.
[ame=http://www.youtube.com/watch?v=R9w9w8nMRmw]Hesitant Faye - YouTube[/ame]
And in time, she, too, became confident in flying to me. Even to the point that if I stopped feeding her by hand, she would follow me around waiting to be fed - regardless of the fact that fresh food was set out for them to eat. First video, I was feeding seeds, second video I'm feeding pellets. This girl has viewed pellets as food the day she was allowed to interact with my flock, and I don't know for how many years before I got her (and at least three homes), I believe, without a doubt, that she was fed seeds!
[ame=http://www.youtube.com/watch?v=rH9ZWxhCSAE]Not So Hesitant Faye - YouTube[/ame]
Which eventually led to feeding the entire flock by hand, including the most skittish cockatiel that would take off flying the moment I came anywhere near him. He became confident enough that he flew off the ground and into my hand, even with no reward view-able.
[ame=http://www.youtube.com/watch?v=XjKmHswgiHs]Cockatiel Feeding - April 24th - YouTube[/ame]