I too have a baby grey, she is learning to step up as well. I will tell you what I do. Dorothy comes to the front of the cage right away when I open the door. Sometimes I will ask her to step up and she will do it other times she is holding on for dear life! LOl What I do is give her a chance to do it then if she doesn't do it I just gently lift her toe and slide my hand or finger under and then kind of lift up. My breeder showed me this. I just want you to remember that greys are very clumsy and that this is something that they have to get comfortable with. It does take doing it over and over for many birds to learn this. Remember to reward your bird when they do get on your hand. Dorothy really doesn't have a "treat" that she likes so I just make a big fuss over her. I do this whether she does a step up on her own or I help by lifting her toes. The fact that your bird is coming to you is great, you just need to be patient and teach the step up. This could take loads of time or be learned by tomorrow, remember every bird is different! Congrats on your new baby! What is the name?