Hi there and
to the forums!
You have been given great advice above. I definitely think that backing off and starting from the beginning is a very important step you need to take.
As for always wanting to come out of the cage, you shouldn't let him come out when he asks by begging. It's important to establish a routine where he gets let out at a certain time, and then he should stay in his cage during the other times. Having a routine will help him adjust to living in his cage happily without being concerned about coming out at all hours. Additionally, this will help him start to see his cage as his "safe place" and he'll begin to feel more comfortable then.
You've come to a great place to learn even more about budgies
Be sure to look through the links provided above, which include the forum's many Budgie Articles and "stickies", which will ensure you're up to date on all the best practices for budgie care.
If you have any questions after reading through everything, be sure to ask!
We look forward to seeing more of you around the forums!
We'd love to see photos of your little guy when you get a chance!