Grab your bird if it flies away from you. In a small room your bird cannot go far so let it go and begin again. Grabbing the bird will only scare it and you will lose all the trust that you have built-up between you and your bird, and it could take a long time before you get it back.
Pick-up your bird from above or from behind as this will only frighten him/her and may cause it to bite.
Make any sudden movements while walking with your pet on your finger as this will startle your bird and may undo the confidence you have built up.
Conduct your training sessions while other animals are in the same room - this will distract and probably scare your bird.
Be patient - training animals of any kinds takes time and patience.
Talk to your bird. Use a calm soothing voice to reassure your bird that everything is alright.
Keep your training sessions brief. Like most of us, birds have a limited attention span so don't overdo your training sessions. About 1 hour a day is plenty.