Welcome and so glad you reached out! Parrots are tough in that respect but they are SOOOO different from dogs or cats, so stick with me here (I'm not judging--I am genuinely trying to help and you are not the first or the last to struggle with this)
It's time for some tough (but understanding/patient) love. You are creating a monster...You cannot and should not continue this because it is very unhealthy for him and will become complicated at puberty (they get even louder and pushier then). You must not be viewed as a mate, and you must teach him that he can be okay on his own for short periods of time (or even a few hours)...You will have to go to the store...you will have to work...you will have to leave him when you live your life for the next 20+ years.
You have GOT to teach independence and stop setting a precedent that will be unsustainable or you will end up with a very anxious and upset bird with behavioral issues...Imagine if you had a 10 year-old-kid who you carried everywhere and you were his only source of fun and he cried when you left...and the kid didn't play with toys etc etc (that is you right now---your bird will be sexually mature around 1 year-old, unlike a human)..but they live for a long time...soo......To put this in perspective a bit, can you imagine a mother carrying around an 18 year-old sobbing child who only wanted to be with her and also wanted to marry her? That is kind of what can happen with birds that never learn to be independent ...Think Robin Arryn in Game of Thrones (if you have seen it LOL)-- They are still flock animals, so they still need a lot of attention--- I am not saying to ignore him for good or neutral behavior, but you have to draw a line somewhere.
Think of this as a kid-- when they cry, it is sad, but sometimes, they need to just cry and see that they can self-soothe and get over it (they can deal with not getting their way if they have the tools to manage). This is why getting a baby can be complicated because it can be difficult to know how/where to draw that line-- I have no doubt you have a huge heart and love him dearly, but part of loving him is teaching him that there is life outside of you..And he really likes his life right now, so he will resist initially when things change (which is why it has to be slow and steady, but unwavering).
There is still hope-- don't freak out....You haven't "ruined" him BUT they do move slowly-- so when you start to intervene and change things, expect a push-back and increased behaviors (no behavior gets better before briefly getting worse first)...It's called an "extinction burst" and the last thing you want to do is cave at that point..You have to be more stubborn than he is, and it may seem like your nerves are raw at some point due to the screaming...Trust me when I say, it will get better if you move at a measured pace and do not give in.
1. MODEL PLAY-- show him toys on you, act like you love them, show him how to play with them.
2. PRAISE him if he shows any interest-touches the toy, looks at the toy, watches you play with the toy, comes closer to investigate the toy (clearly he is an attention lover).
3. START PUTTING HIM DOWN and definitely stop with the cuddles (head and neck touching only)-- these will become so inappropriate when he hits sexual maturity but he will still expect them.
4. When you put him down, start using key-words to tell him what you are doing, and if you leave the room, BEFORE he starts crying, call to him and talk to him so he knows you are around even though he can't see you. I tell mine, "I am taking out the trash", "I am sweeping", "I am unloading the dishwasher", "going to the bathroom", "going to the store", "going to work" , "going outside" etc-- enough repetition of phrases paired with similar time periods and they will start to figure out when they can expect you to return. I also say "be right back" for each activity if it will take under 20 minutes.
5. IF HE STARTS SCREAMING AND YOU HAVE ALREADY LEFT-- DO NOT REPLY- DO NOT RETURN...DO NOT RESPOND...DO NOT EVEN LOOK AT HIM...WAIT HIM OUT...Start with 5 seconds...when he is quiet for 5 seconds (5 SOLID-Mississippi) seconds, then come back in, praise and reward using a phrase like, "thanks for being quiet" (say it in a quiet voice yourself). NEVER EVER attend to screaming etc---don't tell him "no"...all of that is attention, which is what he wants. Let's say he is quiet for 3 Mississippi and then screams...you have to start back at one. The key is that you do not attend in any way until there is a solid 5 seconds of non-screaming. The only exceptions to this rule would be if he is genuinely in pain or terrified (not of being alone-- but seriously feeling threatened), and those screams are nothing like the typical cries/screams that you have likely heard up until this point...Once he has mastered 5 seconds, increase the count to 10 before returning. HINT: DO NOT leave anything in the room if you think he may scream-- if you go back in to get your keys or phone while he is screaming you are showing him that screaming gets you to come back...and you do not want that. You can prevent the screaming BEFORE it happens by talking to him and keeping him busy with toys, but once it starts, you need to be totally disconnected (no talking to him, no talking about him, no proximity, no eye-contact..NOTHING)
**Note---anything less than 5 seconds is too close to the screaming behavior, which is why I picked that time. If he screams and you come in 3 seconds later, it could appear as though you returned because of the scream.
6. Also- if you have any huts. tents, boxes, shadowy spaces, hollow holes/coconuts etc remove them from his cage. They will sleep on the perch just fine and any cave or shadowy hollow will encourage weird/problematic sexual behavior long-term. Don't continue doing things that will not be okay when he is an adult.
You need to set him on his cage and put his favorite stuff in there-- show him that he can go in without getting locked up. If every time he is in his cage, you lock him up for 4+ hours, he is never going to want to enter, so you have to prove to him that most of the time when he goes in, he will still be allowed to come right back out....Lots of people lock their birds up the second they enter to avoid a struggle, but the problem with that is that they learn, "I go in, the door shuts....Therefore, I will not go in."