This was the way I trained my, mostly grown, wild caught adult and my wild caught baby: 
Let him get used to a cage to serve as a safe area. 
Allow him to enter and leave his cage on his own while you are in the room. 
You will likely have to sit still a long time. It helps to read a book or watch tv.
Avoid handling him unnecessarily, and when he gets more comfortable around you, work up to giving him treats from your hand.
 
Joanna