How can we learn from all available data when training machine-learnt climate models, without incurring any extra cost at simulation time? Typically, the training data comprises coarse-grained high-resolution data. But only keeping this coarse-grained data means the rest of the high-resolution data is thrown out. We use a transfer learning approach, which can be applied to a range of machine learning models, to leverage all the high-resolution data. We use three chaotic systems to show it stabilises training, gives improved generalisation performance and results in better forecasting skill. Our code is at https://github.com/raghul-parthipan/dontwastedata