I've had my Conure for 4 months now and I'm a first time bird owner so I can probably give you a few tips based on what I've learnt.
Conures have a lot of personality, they have different moods just like us humans. I'm sure each bird has it's own unique personality traits too and will or will not like things other birds do. Some days they are quite happy and content and others they are super grouchy. If your bird is a bit grouchy give it some space then try again later.
My bird does NOT like to get off my shoulder. My tip, other that teaching them "step up" is to back up against a wall, that way they are forced onto your shoulder. They are much easier to get from there.
The first month or two will be testing, your bird needs to adapt to it's new environment and you, it's a big shift moving from place to place and it will take some time for birdie to adapt just like it would you. With regards to new toys, happy huts etc, give them time. It takes a while for them to get comfortable with new items and use them. It took Loco about a week, sometimes two to play with new toys etc.
Think of baby birds like baby people or puppies, they are still learning and finding their feet. Maybe just work on gaining your birds confidence and bonding for a month or two then start training. Your bird is going to live a long time so there is no rush. I've only recently started training and have had no issues now Loco is comfortable at home.
Conures are renowned to be "beaky" or "nippy" birds. Even when Loco is happy and content at home, he is still munching on my fingers, ear, remote control, in fact anything he can. The only time he'll bite hard is if he's angry, hurt or unhappy. You'll need to look for the signs of this eg. certain noises, tail feathers fanning, lunging at you etc. If this happens they are saying "backup and leave me alone". If they bite just for the sake of it (which some birds may, but most have a reason) then a firm "NO" is a good idea and you can also try placing the bird on the ground or away from you so they get the idea. Being away from you is punishment enough as they are very social birds and you are their "flock".
As I said, I'm still learning too and new to birds but I'm having great sucsess with my GCC Loco so I hope this helps you.
Oh and once again, be patient

Good luck!