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I just throw them in my Nutribullet, together with all the other ingredients

Aha great! I heard that you have to let them sit for a while, but I guess it's not so necessary :) Thnx for the advice :)

Maybe I do it the wrong way.

No, I don't think so. It's just because some people find chia seeds a little bit difficult to digest, due to their fiber content and property of collecting water, therefore sometimes they let them sit in the water for some time :)