No, definitely don't start by taking one at a time out. You should not remove any of them until they are used to your hand and have been finger trained and perch trained.
If you refer to the lisa shea website where she has training tips there are steps you go through.
If you start taking them out before they are trained to your finger and tame they are buggers to get back in. For their safety follow the tips lisa lists. It will take a while maybe weeks for some. After they are all used to your hand. You can begin to get them to step up to your finger. Sometimes it is harder to accomplish this step with four in one cage but first things first. Later,you may want to get a smaller cage or two to work with one at a time. There are tricks to get one in the cage and then work with it until he is used to you. First try to get them all used to your hand.