Right, I had forgotten about the movie. Watch it in between season five and six. It's a good, if not great, transition between the Vancouver and Los Angeles years.
Another note about Millennium, though. The series is very dark, especially in the first year. Very, VERY dark. You might not want to watch a lot of episodes at once, so it might be easiest to alternate between the X-Files and Millennium.
The other thing about Millennium is that it changes significantly in intention and tone every season, especially in the second year (which, outside of a handful of episodes, I loathe). You should be aware of this from the get go, so it doesn't catch you by surprise.