Welcome to the forum, and congrats on your new baby!!!
As already mentioned many times, you've only just brought him home, so it's going to be at least months before he fully settles-in and until you totally earn his trust, so it's all about going slow at HIS PACE, not your pace. Trying to force a behavior change right now isn't a good idea, well, it's never a good idea to try to "force" it. As already mentioned, you never want to respond to his screaming, only come to him and pay attention to him when he stops screaming...he'll get the idea, it will just take time...
And keep in-mind that Sun Conures are widely known as not only the "loudest" and "noisiest" Conure species, but one of the loudest and noisiest species of parrot in-general. That's simply their nature, they are extremely vocal and extremely loud, that's pretty-much a universal Sun Conure trait, and that's why it's very important that you never accidentally or unintentionally reinforce the behavior.
This is going to be a marathon for him, not a sprint. Whether he's a hand-raised baby or an adult that you adopted (you didn't mention his age or where you got him, but it really doesn't matter), you are going to have to work on earning his trust and getting him into the groove of your schedule/routine.
****Something that will help tremendously to curb unnecessary screaming is making sure that you have his main-cage located in the "main room" of your home, or the room "where the action is", meaning the room of your home where the people spend most of their time when they're home. This is usually the living room, family room, den, TV room, etc. for most homes. Many people mistakenly locate their bird's main-cage in either a spare bedroom or a spare room that they designate "the bird room", instead of locating it in the room of the house where their family spends most of their time and where friends and family visitors usually spend their time when they come over. The idea is that even if you're not directly interacting with your bird, his cage should still be where you are or where the people of the house are, so that he can see you and be around you as much as possible, be exposed to people talking and interacting with each other, etc. Not only will this help him to bond with you and to better socialize him by just having him be around people as much as possible, but it will also give him a feeling of security and contentment, and this will encourage him to entertain himself while inside his cage, simply because he's where you are. Whether you're watching TV, playing video games, on the computer, reading, eating meals, or just talking with each other, having him in the same room with you while you're doing these things will give him a feeling of safeness, security, and make him feel like he's a part of your family and that he's "included" in your lives...One of the main reasons that birds scream continually is because their main-cages are located in a room that is not the "main room" of the home where the people spend most of their time, and because in this situation the bird knows that people are home, they can hear them, but they cannot see them and feel like they are not being included in what is going on in the house and within the family.