It's good you recognise they're going to automatically gravitate towards each other. That's good!
As for taming, you should let Harvey settle into his own cage, in his own space. It's essential to follow quarantine procedure to let settling in happen and to ensure any hidden illnesses don't get passed on to your other bird. If quarantine procedures were followed, Harvey would have been less nervous and the time separate from Cosmo would be spent getting to know you
Although they've already met each other, I still would keep him separate from Cosmo for another three weeks. It's important he recognises his home as well as settles in without added stress. You should put him in his own room, and even though he will hear Cosmo and call out to her, put on some music for him and leave him to his own devices. After two weeks, you can start interacting with him in more "hands on" ways. Not touching them for the first week or two is good to let them settle down and not be so submissive. Talking to them both a lot as well as making sure they're comfortable when you approach the cage is a great first step to taming!
After you've given Harvey some time, and quarantine is not yet over, you could begin the slow process of taming by leaving your hand in the cage without moving until he's comfortable, then slowly moving closer and closer after a period of days (or even weeks) until he responds with his body language that it's okay to move on.
I don't know where you are in terms of taming with Cosmo, but some of those steps would likely benefit her, as well
Afterwards, introducing them again should go well and they both will be more willing to go work with you individually after they experienced the initial separate quarantine and taming periods!
Check out these links for more information:
Taming and Bonding - Talk Budgies Forums
Best of luck!