Welcome to the forums!
You have certainly come to the right place as you will find all you need to know on budgie care here.
Since you are new to budgies, the information on the several articles and sticky threads will be extremely useful as you become more familiar with the species.
At 5 weeks old, your budgie is very fresh out of the nest and may not even be fully weaned, by this time your budgie should still be with the parents and siblings, at this age some chicks would even still sleep on the nest box.
It's quite worrisome that such young budgies are sold to people regardless on whether they have experience with the species or in raising chicks or not.
By being taken away from the parents and the familiar surroundings, your budgie has higher risks of regressing on the weaning process and this is quite serious.
At this point, making sure that your young budgie is eating well is the most important thing. The taming isn't a priority right now and can take second place.
If you notice that your budgie isn't eating and you are unable to hand feed him, then getting the little fellow back to the breeder/pet store and allowing the budgie to finish weaning would be the best option. In most cases, young budgies will be sold as soon as they reach 8 weeks old (two months of age).
To answer your question, you didn't make an irreversible mistake.
For all new budgies, it's best to let them take their time in settling in and to not rush through with training nor take a more hands on approach so soon.
It's best to help the budgie to acclimate to the new surroundings, this can be achieved by covering the cage on 3 sides (leaving front part uncovered) and having some music on.
During this time it's important to make the first connection with your budgie, to get him used to your presence and voice and to establish the foundations of trust.
This is done by sitting close to the cage and talking to your budgie in a calm, positive, encouraging and reassuring way. When your budgie shows signs of being receptive to you (by moving closer to you while in the cage), that's when you will take the next step in training, by slowly introducing your hand and offering him a little treat to eat.
For all the detailed information and tips on how form a long lasting bond with your budgie, be sure to check the Taming and Bonding section of Talk Budgies.
Best of luck with your little feathery friend!