Should I let my new Budgie out of his cage?

  I just purchased a young budgie the other day from Petco. He and I have bonded well enough so that he will sit on my arm while it's in the cage and he allows me to pet him. Yesterday I accidentally on purpose let him out of his cage and he flew around like a mad man for about an hour before I was able to re-catch him. Today he seems very restless, a lot pacing and hangs around by the door of his cage. Should I let him out and see what happens or is he better off left in his cage until he is completely tame?
When I had my budgie, I left him one week in the cage without coming out of it. until he learnt that was his home, and having let him out after one week, he went back in when he got hungry, as he was already used to have the food there, inside the cage. I think that he has really to get used to his cage, as his own territory.
Yes you should let him out. He was wild because they love to get out of their cage and play. I have a budgie also and she loves to go out. I suggest for you to go into a small room like your bedroom and close the door so he wont fly away. When you want to put him back in the cage, put him on your finger, turn out the lights and lightly grab him with your other hand. I t works every time with me because they can't see your hand comming near it. Hope I helped! (: