Firstly let your budgie get used to his surroundings. It'll take him a few days to get used to his new cage and to become accustomed to your daily routine.
Next is to allow him to get used to you. If you got your budgie from a pet shop most likely he won't be tame, if you got him from a breeder he was probably handled so won't be as afraid of your hands.
I got my budgie from a breeder who handled his budgies, so Wheatley wasn't afraid of my stroking him or sitting on my finger.
You should get him used to your hands, use slow movements if you move to fast he'll become frightened. Sit by his cage and talk to him, maybe hold a spray of millet in your hands and hold it in front of him with your hand at the far end. Then slowly move your hand closer over time. Hopefully this will help him see your hands as something that can provide food, and not something that can grab him.
I'd suggest getting a clicker and a target stick to, this will help with training once he has gotten used to you. I use it with Wheatley and now he can target, turn around and hop over to my finger when I call him.
I hope this has helped a bit. I'm sure other people with more expirience will offer some more advice
