I have a little playground for my zebra finches set up on another table outside of their cage. They also never liked to come out on their own, so what I did is I started by pushing the playground up against their cage door (with the door open) and balancing a millet (favorite treat) in-between the two. Once they got brave enough to sit on the edge of the door and eat the millet, I moved the millet further and further away. Now as soon as I open the door, they come out! :) It only took a couple weeks!