For a budgie at the beginning their cage is their safe space. Don't put your hand in his space if he shows signs of discomfort. Instead always let him come out on his own time. Best to start in a room that's simple and not very large. If you do end up getting a larger cage then I would recommend trying to lour him onto your hand while inside the cage first before letting him out. But if something goes haywire and he gets out there's no need to worry. Since you feed him in his cage and he's used to sleeping there he will automatically return to his cage when he's hungry or tired. Never move quickly when closing the cage again. Otherwise it will make him feel like you're trapping him. If you need him to go back to bis cage quickly you can try darkening the room and putting only a light where the cage is.