If it makes you feel any better I have heard that those things can cut into them if the bird's leg grows too big for it. I have accidentally trimmed nails too short and made them bleed, and they get over it! So long as it don't get infected you'll be fine.
You can try bananas for taming...
sounds like he/she is coming around, since he's stepping onto your finger when he is out of the cage. Here's my rendition of parakeet body language:
fluffy head, "beard" face (little dots on bottom of "beard" turn up in smile) : happy
fluffy head, accompaied by flared out tale: watch your...