My 3 boys fight over who will have the swing each night ... but not the actual wooden part as you can see by the positions Buzz and Moe have adopted I have no idea how they find this comfortable. Crazy crazy boys
P.S. Check out how much my baby Rio (on the perch on his own) has grown. He is such a bossy boots and very independent .. just likes to march to the beat of his own drum. He is the loudest and craziest budgie I've ever had, quite the character!
Birds by nature want to roost at the highest possible level, for safety reasons. They do that in the wild, and this can be also observed in some captive birds.
Place short perches (maybe 2) a little higher than where your budgies are in this pic and they will most likely sleep there.
If that doesn't help - they still cling to the swing - remove the swing before they go nite nite.
I had few budgies that were doing this and I never liked it. I felt they needed a more comfy roosting spot.