Zazu skittish behavior

Hi all , I adopted my wonderful African grey Zazu about five to six months ago . When we got him he was very skittish , scared to step up and very nippy . He now is confertable with myself and my gf. He steps up ( and sometimes will not get down he will do his “ happy dance on us” advice on stopping that behavior would be great too!) and looks more comfortable . He sometimes lets us pet him but he will suddenly runaway all of a sudden while petting or start self harming in a way and take a bite out of his feathers under his wings and goes back to very skittish behaviors . He well then ask for pets by bowing his head and then the behavior repeats all of a sudden . Any advice for myself on helping him feel complete comfy or steps to undo the skittish ness ? Any help will be allreaciated . Thank you so much.