I tell Sailor, "you can pick your friends and you can pick your nose, but you can't pick your friend's nose!"
They are just interested in us. Turn away when he starts. He'll "get it" eventually. If you watch birds interact together you'll notice they are not shy about telling each other "no" if they don't like something. I don't think birds get too upset when we stop them from doing something, and if they do -- well they get over it.
Small hand toys that you can offer for him to fool with and chew on instead of you might help. Some people wear bird jewelry like some wooden beads the birds are allowed to chew. I even know a woman who made a hat for her husband because their bird was always on his head. The hat is covered in buttons for the bird to pull on. She didn't actually "make" the hat. I mispoke. She decorated a hat.