Hi yvette & welcome.
You have had your new grey for just a few days,he needs time to adjust to his new home, environment & people around him.Sit near his cage & just chat to him,dont raise your hands at this point or try to touch him as he may feel threatened ..As long as he is whistling & chirping that's good, he will talk in his own time,dont make the talking an issue at this point.You need to gain his trust so he is confident around you.Throwing a blanket over him will freak him out,try offering him a perch to step on or leave the cage door open & only feed him in the cage at this point,he will return when hungry.If you have a search around the forums there are threads on towelling greys correctly & threads on teaching the step up command.As adelt rightly said, patience is the key factor here, take it a day at a time