YOU ARE A MEMBER OF AN EXCLUSIVE CLUB... NOT!!!
He needs to be taught that he can't be with you all the time, and needs to play nice.
He needs to be taught to play with toys at this point. Put the toys on your lap, and play with them with him... Then, when he gets interested, put the toy back in his cage, and put him in it...
Home made foraging toys are best. Get a box, throw some wood, some nutriberries, and some other goodies in it. Let him sit on your lap and watch you do it. Roll up newspapers, or things he can shred. Then put him back in his cage, and follow the standard screaming protocol if he screams.
Standard screaming protocol (AND IT REALLY DOES NOT MATTER WHAT SPECIES YOU ARE TALKING ABOUT) is to cover the cage on 3 sides. If he continues to scream, then cover the front as well, until he quiets down. ONCE HE QUIETS DOWN, uncover the front of the cage. PRAISE HIM FOR BEING QUIET... Then, if he remains quiet, uncover the entire cage again. Praise and reward him again, for being quiet... (Most folks forget to praise the positive, and forget to reinforce quiet. Then the bird ends up being covered more and more.)
REINFORCE THE GOOD BEHAVIOR. NOT THE SCREAMING. HE CANNOT GET HIS WAY BY SCREAMING, OR IT WILL GET WORSE!!! HE CANNOT GET A "DRAMA REWARD" WITH YOU RUNNING OVER TO HIM WHEN HE SCREAMS.
THE MORE HE SCREAMS, THE MORE HE GETS IGNORED. THE LESS HE SCREAMS, THE MORE HE GETS PRAISED AND INTERACTED WITH.
Once he learns this, you probably won't have to cover him. Just get the cover out, ask the bird "Do I have to cover you?" and drop it on the floor next to the cage, and leave it there.
Your bird will get the message... Eventually!