I highly suggest reading Michael's Taming Article. It's very simple and straightforward. It will also help you to train your bird to step up in a positive way.
When he is on the floor is the best time to ask him to step up. I ask mine "do you want help?" They usually do rather than walk back to the cage. Myrtle doesn't need help now because she can fly. She does wait for me to help put her to bed.