Just click on this link and scroll down a bit to "parakeet training," then click on any topic you want -- http://www.lisashea.com/petinfo/budgie.html
I agree with BLR's advice, above. Since you just got the keet today, I suggest going slowly, like maybe put your hand in twice a day, just for a minute or so.
Lisa's training method uses a perch first, then your finger. The goal is to teach the bird that (a) you won't hurt him and (b) he will be rewarded verbally (and also possibly with millet!) when you say "step up!" and he steps onto your finger.
Slowly but surely he will get used to you and trust you more. It is a slow process but it's really worth it!