Unfortunately they may never not be skittish around you, but if you can get them past the "Im terrified, don't eat me" stage, you are doing good. Pick each one up and carry it around the room several times a day. You can also take them into a small room, some place they won't get lost, lay down an old sheet and sit with them on the floor. They will naturally be terrified, but you will be more familiar than being in a strange place. They will naturally cling to you, hopefully, and this trust will get them to bond with you more.
Make sure your pen has a solid bottom, they don't do well on wire. And either give them a very low ceiling or a very tall ceiling. They are so jumpy, they can fly up into the ceiling and break their necks.