What Should I do?

Is that a synigul? I had a bird like that, beautiful. The bird needs time to establish your shoulder as a comfort zone. Also if you are around other people and he is on your shoulder he may just be freaked out and he is telling you he wants to be alone. If these two are not a part of the problem then you can take disapline measures but putting him in a cage and placing the cage behind you for 5 minutes and ignore him. That is the only effective way to disapline a bird.
On a side note I am a bird freak also, I have an African Grey.