These are called feather mites, and if left along, they can destroy the look of the birds plumage. You mostly see these in the tail and hackle feathers. I like to spay Permethrins mixed with soap into the feathers.
Permethrin is an insecticide in the pyrethroid family. Pyrethroids are synthetic chemicals that act like natural extracts from the chrysanthemum flower. This is safe to humans and animals, but deadly to insects.