First, to greatly simplify training, have your budgie's wings clipped!
Try training him/her in a small room without a lot of distractions. I go into the hallway and shut all the doors to bedrooms. Others have recommended getting into the shower or bath stall, closing the door and working with them in there. Dim lighting helps, too. It is important to work with your budgie away from its cage or it will constantly try to fly back.
Get him to perch on your finger and hold your other hand right in front of him so she doesn't have a clear shot to fly. Or hold him facing the wall. The first time may take a few tries, but he should soon stay on your finger. I can almost always get budgies to perch using this method.
Talk gently to him the whole time. After a few minutes, get him to step up on your other finger by gently pushing up on the chest just above his legs. This may cause him to fly again. If so, retrieve him and try again. He will soon learn to trust you and become comfortable with you. Do this for 10 minutes several times a day, eventually increasing the time. When he is comfortable on your finger, you can try it in another room.