As a long time budgie breeder, i can tell you that it's tough to tame budgies that were not hand raised, though if your male is willing to step-up, then that's a big deal. If they are still young babies or juveniles under a year old (you can tell by how close their forehead lines are to their ceres, usually) then no, he's not flying back to the cage to be closer to the female, he's flying back to the cage because it's his safe area, and he's not hand-tamed yet. If he's stepping-up onto your hand at all that's a big leap forward, but you have tons of work yet to do...
The best way to hand tame parent-raised budgies, like the ones you buy at most pet shops, is to spend a good hour or more at the least, as long as you can each day, putting your hand inside their cage and just holding it there in front of the female, each day getting a bit closer to her, until the point where you can put your finger down near her belly. Then hold a millet spray in your hand each day and let her eat from it, until the day she finally steps-up for you. Then your next step is getting her to stay on your finger while you take her out of the cage...all of these steps happen over a long period of time earning their trust, it's a lot of work but it's worth it...
As for the male who already steps-up, the best thing you can do is take him out of the room that his cage is in and work on training on a carpeted floor with the door and all windows shut. He's at the point that you'll be able to work with him, but as long as he can fly back to his safe cage, it won't happen.
***Also, and some people don't want to do this but I can't tell you the difference it will make with both of your birds, if you want to really get them hand-tame to the point you can pet them, touch them, have them fly to you, etc., then the very first thing you need to do is clip both of their wings so that they cannot fly. Don't worry, they'll grow back quickly, but by clipping their wings, you're making them rely on you for everything, even getting back up to their cages...Also, it's impossible to work on training when the bird keeps flying away from you, landing on picture frames and windows, or back to their cage. By clipping their wings you make them need you, and basically make them trust you. And even more importantly, YOU'LL HOLD THEIR ATTENTION, WHICH IS IMPOSSIBLE IF THEY CAN SIMPLY FLY AWAY...So that's always step one when i'm hand-taming a parent-raised bird, clip their wings before anything else...
***Also, I don't know what your plans are for the pair, but if you truly know you have a male and a female, they will most likely end-up bonding with each other an mating, and laying fertile eggs if you keep them in the same cage together. Just an Fyi, with budgies this does make it more difficult to hand-tame them, because once they bond with a budgie of the opposite sex, they want little to do with humans. That's why breeder pairs of birds do not typically interact with their owners, they are just breeding pairs, and that's it, not pets. It does happen but it's very rare that a breeding pair of budgies that are bonded to each other will also bond to a human, it just doesn't happen. So if you bought the pair as pets and they are still young and you don't want to breed them, I highly suggest you separate them immediately into 2 different cages and 2 different rooms if possible...if they are already a bonded pair of budgies that are of opposite sexes, then it's going to be difficult to tame them, and you're going to get eggs soon, and have babies, so you need to prepare and educate yourself for that...
I don't know the age of the birds or how long they have been in a cage together, nor do i know what you wanted when you bought them....
