Hold the coriander or millet just out of reach so that they had to step up to get to it. Believe it or not, having them put one foot on your finger or hand is a huge step, so the next one -- stepping up all the way -- is usually fairly easy. Once one steps up and gets the treat, the other budgie is likely to do the same. It may take him a few more days, but he'll do it when he sees that the other is perfectly content on a finger.
I think you'll want both to step up before you attempt to move one or both out of the cage. That, too, has to be done slowly. When they are munching, move your hand slowly toward the cage door. You'll feel them tense. Stop there, and wait. The next time, try to get a bit further.
My budgie Harley took a looooong time to step up with millet. He chose to put his whole body across the palm of my hand, with both feet firmly attached to the perch, rather than step up. I mean, he was stretched out in my palm, with all his weight held by it, but he wouldn't let go. Eventually, he did it, though.
In general, I think it's better to give verbal praise rather than treats when training because I found that each progressive step is made more difficult. If a stubborn budgie can find a way to get the treat without doing what you want, he will. It's much better to have them WANT to step up to be closer to you. That said, some budgies (like Harley) simply will not respond to praise until they are fully tame. You'll have to trust your instincts about how to progress.
Thanks to budgielover14 for the sig!