After accomplishing the basic taming training, which is to step-up on to your finger or hand, the next training is to free fly the budgie and to recall the budgie to fly back to you from where ever he is.
It has to be made clear that stepping up in the cage is different from stepping up in a room where the budgie could be easily spooked by sudden movements or unfamiliar noise. Unlike the cage where the budgie is very familiar with, he is still not familiar with the room and the furniture and stuff that is in it. As such when he is let out, the first reaction is to fly high and perch on the highest perch possible. Even if you bring him out from the cage on your finger, he will prefer to take off and fly high. It's much safer up there for a small budgie.
So now that he is up there in an unfamiliar room, how do you get him to fly down to you? It took me almost a month to encourage him to fly down. To a budgie "down" is dangerous where predators could get him.
Firstly, I use a long tree branch for him to step-up and perch on, to bring him down and then to step-up on my finger. It was a long tiring training, where it took weeks for him to get use to the procedure. For a few weeks, that was the only training. He will fly up and I will go get him to step up to a branch to bring him down where he could step up on my finger. When he is on my finger I will introduce him to his food and water station, followed by his play station, one station at a time. Remember to introduce him slowly and gently. New places will spook him and he will fly up again. So be patient with introducing him to new things and give him time to explore and feel safe.
Now that with time and familiarity with the room and the knowledge that those "things" are not dangerous, the budgie will feel confident that "those things down there are fun and won't attack". This also includes the human and the human's hands. The main reason why I have never used my hands to catch or hold and to restrain him is to build his confidence in me.
Soon your budgie which is a social animal will want to come to you for attention and play. Flying up is easy, but flying down needs practice. The budgie needs to learn how to control his wings. To help him with flying down, I continue to use the long branch. Instead of letting Momo step-up on the branch, I placed it about a six inches to a feet away for him to hop and flap his wings on to the branch. Slowly, I increase the distance and placed it slightly lower for him to fly to. With time he will be confident enough to fly all the way down to the branch. This training also took quite some time as the budgie has to control and exercise his wings.
Finally, after many days I did away with the branch and use my finger. Now I just need to call "come" with my finger out for him to perch, and he will fly down.
I didn't use food or millet as a training tool because it's just a hassle. Furthermore, moving the hands to get the millet and putting it away could easily spook the budgie and distract his concentration.
A final warning to budgie parents is that I only free fly my budgie inside an enclosed room. A budgie is small and colourful, as such it attracts all kinds of predators especially big birds and reptiles. Dogs and cats may not eat your budgie but it's bones, neck is very fragile.
If you achieved free flying your budgie in a room, you will know that budgies are easily spooked, unfamiliar sounds and sights will spook it and it will fly far and high to escape danger. Recall training has it's limitations in such situations outside. The budgie's instinct is to fly away.
Outside it won't know where to get food and water. If it finds food it may be too afraid to fly down, and if it flies down to feed, predators are waiting. As such its chance of survival is very slim.
Your budgie is safe inside, as such please don't take the risk of free flying your budgie outside. Sun bathing in a cage will suffice.