I don't know much about conures but new parrots are usually pretty rowdy as they try to process their new environment; after all, it is a huge adjustment, and birds are creatures of habit. They should calm down as your relationship improves, so I wouldn't think too much of it. However, there is one very important thing to note:
Parrots will be naughty. I've said it before and I'll say it again: these are not pets. They are wild animals that we've brought into our houses, and it is unfair to want them to adapt, rather than the other way around. OP, I'm sure you were well aware of this, and that you are going to make a great parent to your birds. I'm simply leaving this here as a small reminder-- if, perhaps, someone stumbles across this in the future with a similar concern.
But my main point is that the behavioral issues are likely a byproduct of the stress of a large adjustment, and as long as you put some work into bonding with them, they will most likely mellow out before long.
Congrats on your conures!!
