The fun begins when your Budgie accepts your finger as a safe place to perch.
Let him grip your finger on one hand and with the other hand restrain him only enough to limit escape. Preen his feathers and talk to him.

When you are confident that he will stay on your finger, gradually loosen hold. Be prepared, though, for him to attempt flight even after 5 minutes of sitting peacefully. If he sits facing you there is less chance that he will try to leave.

Escape
Any motion may be frightening, so move slowly and be prepared for him to try to slip out of confinement.

When your Budgie has flown to the floor and runs away from you, how do you catch him without creating more fear?

Do not chase him. Slowly follow him to a corner or other area where further retreat is almost impossible. Get down on the floor and surround him with your hand or hands and arms. Close in slowly until you can pick him up in your cupped hands or let him step onto your hand.

This whole experience can be pleasant and reaffirming. At the next occurrence he won't mind being caught and the training will continue uneventfully. Your hands will always signify safe sanctuary.

Once on your hand or finger, prevent another escape by placing your hand in front of him. He will signal his intentions to jump off by leaning forward, lowering his head or looking around. A desire to escape is natural until fear has been completely eliminated. Fear will pass as you continue to hold and touch him.

Positive Signs Of Acceptance
Instead of looking around and making restless movements, a Budgie will sit very quietly.

• His grip on your finger will not be as tight.
  
• Breathing will slow until almost imperceptible.
  
• A satisfied expression will be seen in his eyes.