How long have you had this budgie, birdman? Did you take the time to let him settle into his new home?
Erika's suggestions of wingclipping or removing him from the room his cage is in are good if you have already taken the steps in the articles I wrote Handtaming Your Budgie atBellaOnline ALERT: Raw URLs are not allowed in these forums for security reasons. Please use UBB code. If you don't know how to do UBB code just post here for help - we will help out!