Sounds like you're doing great! RoRy is definately full of confidence and has obviously been handled well since coming OOP (credit to Lunar). Roxy just needs time, she's nervous and jumpy as she's moved home twice in a short space of time. I'd say she's been socialised a bit as she will come to the hand. Just take things slowly with her, allow her to come to you at her own pace. Sitting in the cage with them is great - just like tent time but you haven't got the hassle of a tent!
