There are a couple things you should keep in mind when you are taming your budgie. First things first a budgie is a prey animal. Basically meaning that being fearful, timid and skittish is build into them for their survival in the wild. Being able to tame and handle them goes against their instincts. This is why you should never make quick movements or loud noises around your bird. Taming and building trust takes time and you will need patience. Keep in mind that you can't make a bird like you specially by force, you have to teach it to.
First days at home
The first thing you need to do when bringing a new budgie home is leave it alone for a couple days. Now that can be difficult sometimes but it is vital, trust me. Make sure the cage is in a room with some family activity but not too much. Your budgie needs to get use to their new environment. The new noises and movement of your home and family are unfamiliar. Your bird needs time to get use the these things.
Learning to trust
The first step you can take to building trust with your budgie is to just sit next to their cage and talk quietly. Slowly move you hand closer to the cage door. Leave your palm pressed against the cage with your fingers spread. Your budgie may become frightened and move away from your hand or flap their wings. Keep your hand still and talk softly. Soon your bird will realize your hand isn't going to hurt them. When you can do this exercise without your bird reacting you can move to the next step.
Now you can start teaching your bird that your hand isn't a threat. Slowly open the cage door and put your hand just inside the cage door palm down. Keep your hand in the cage for about a minute then slowly take it back out. Do this about five times a season until your bird is unconcerned with your hand moving in and out of the cage.
After your budgie is use to your hand moving freely in and out of the cage comes the hard part. This is the most difficult step for both you and your. After you have put your hand in side the cage door you can start to very slowly move your hand closer to your birds chest. Talk to your bird wile you move closer. Your bird will most likely move away from your hand or flap its wings. When it does freeze your hand in place and don't move it any closer. When your bird calms down again you can start to move your hand. Try to aim for their lower chest and feet area. You should be able to touch your birds feet and chest before moving on to the next step. This step takes time and patience but once you have it down it is a walk in the park from here out.
Learning the UP command
Now that your budgie has learned to trust your hand you can teach it to step up. Place your pointer finger under your birds front four toes. Slide your finger under your birds longest front toes and say UP and slowly push up and under the birds feet. Usually one foot will step up them the other. When your bird steps up just leave your finger just above the perch for about thirty seconds. Then say GET DOWN and place the birds feet back on the perch. Do this about five times a session.
When your bird understands the command UP you can start taking it out of the cage. When you have your bird on your finger slowly bring your finger out of the cage. Most likely your bird will turn around and jump back on its perch. Just go back and try again. Eventually you will be able to bring your bird out of the cage.