When I do put him inside he just stands on the door begging me to open it, and when I open the door he goes straight to the top of the cage. Is this normal for a parrot??
My sun makes a fuss when he is in his cage too. He clings to the door and squawks until I let him out...
You two are creating a monster, lol. Letting your bird out every time he or she throws a tantrum and screams, is actually reinforcing the screaming. Your bird will learn that screaming is likely to get them out of the cage, and will therefore be more likely to scream more frequently.
It's like the parent who gives their child a candy bar to stop them from throwing a fit. Not realizing, that in doing so they are only rewarding the child for throwing a fit. If a child learns that throwing a fit gets them a reward, can you blame them for doing it again and again?
As heart-breaking as it may seem, in situations such as this, it is always best to ignore the undesired behavior. In doing so your parrot learns that screaming will have no effect, so he or she will be less likely to do it as frequently. Consistency is key. Keep in mind, of course, that conures are naturally loud birds, so they will scream from time to time regardless.
NOTE: I am only referring to setting limits AFTER you've spent plenty of quality time with your bird. In no way am I implying that you should simply ignore your bird and keep him or her locked in the cage all day. Like all parrots, conures do require a lot of attention, a cage with plenty of space, and lots of toys.