The 21-year-old, who has made four first-team appearances this season but has not featured in a league fixture, will remain at the New York Stadium until January.
"I am delighted that we have been able to bring Dicky to the Millers after two previous attempts failed," said Millers boss Steve Evans to the clubs website.
"I first tried to sign the lad last season but the Wigan manager at the time, Roberto Martinez, wanted to keep him involved with his first-team. On the second occasion I approached Owen Coyle back in July but again my attempts to sign him were rebuffed."
During a loan spell at Blackpool last season the Frenchman scored five goals in 22 appearances and added one in four at Wolves.
Evans hopes Dicko will offer the same goal threat for his side, who have won just one of their last six in the league.
He added: "The lad can obviously score a goal and has the type of electric pace that will frighten defenders at any level of the game. Dicky, for me and for others I respect in the game, is a striker but he is also very effective playing in a wide role on either side of the pitch."