It could be someone's lost pet. Have you checked the local want ads? You could try letting the local veterinarian offices near you know that you had a sighting, as people often contact them regarding lost pets. Someone out there may be desperately looking for their bird!
Potter..try the cage thing like Gritty said... or when hes on your finger (like in the pic)...place your thumb QUICKLY and firmly over his little feet, so he cant fly away.... then cup your other hand over his wings to capture him.
Poor little guy... he was def someones little pet...
I hope he can make it out in the wild... please do try to catch him.