Time and patience. It's usually best to work with them away from their cage, in another room so that they won't keep trying to fly back to it. Continue offering the millet as much as possible. It doesn't sound like he's quite comfortable with your hands yet, so keep working on that. The ladder exercise worked well for me, I'd continually make my birds step up. It made them realize my fingers were trustworthy and it kept them preoccupied for a bit too.
Thanks DallyTsuka for siggy!
Snowball-whiteface cinnamon cock
Jeep-normal gray cock
Pebbles-whiteface pearl pied hen
Pankakes-PF cinnamon pearl pied cock