I am wondering if I missed something.....why does he need to wander around and explore things? I understand that you want him to be more social and accepting of change, but...if he is happy to be on a perch or on top of his cage, that is progress. Grey time can move very slowly. My Shadow is generally perfectly happy hanging out on her tree, her playstand or just on top of her cage. She is especially if she is in the screened porch/ aviary. She can spend hours just sitting in her tree talking to the wild birds.
In all honesty, she is much safer and I actually prefer for her to be sitting in her tree than wandering around chewing up my cabinets or looking for trouble! LOL Enjoy this time getting to know each other.