Awwwww. Poor little Sonic, far from home! Actually, I imagine he is going to adapt to the change far better than his former humans will.
So, going forward:
Your new friend is an adult for certain, judging by his handsome neck ring. I'm in Maryland. My bird has thrown down a few feathers but not actually molted yet. He is still feeding things (seems to be his expression of breeding time) and will probably stop in the next couple of weeks. Then he will be over breeding season, sure and certain, and I expect a big molt. Sonic will likely start molting soon as well. This will mean feathers everywhere. The little down feathers are very sticky for some reason- they stick to everything. Don't expect trouble, but do read up on blood feathers and emergencies related to these. Since your bird is not clipped and not thrashing in fear, I would judge the risk of a broken blood feather to be minimal, but best to know what may happen and how to handle it.
Be sure to feed him well, including leafy dark green veggies like kale, fruits and veggies in a variety of colours, plenty of fresh water in a clean bowl every day, a high quality seed mix, some protein (like egg), and provide a bath. Check out the toxic foods list to avoid mishap. You'll be stunned at how gorgeous the new feathers will be. When I say high quality seed mix, I am talking about one of the more expensive (usually) pet bird mixes. Millet will not be the primary ingredient. A variety of seeds will be there, including canary grass seed, high on the list. Skip the sunflower seed. I choose a Cockatiel mix for mine.
Since Sonic was so nice about the cage it should be easy to bring him out of it for exercise and socialization. Just, ah, make sure the doors and windows are shut!! Also put away any hazards including predatory pets, burning and drowning hazards, still any fans, cover windows until he gets the lay of the land at least, cover or remove anything that it would kill you to see damaged (hello heirloom wooden objects!). Also, don't let him out if you are then going to be in a hurry to get him back in, just in case. Be sure and give him a really nice treat when he does go back in, so he has a nice association with his home.
Understand that if you get carried away and push him too far too fast with anything he will remember and maybe hold a grudge. It's a survival skill. Proceed with caution, always checking him for feedback. It's always good to lead and lure rather than push or force. Put simply, when dealing with him Ask, don't Tell.
What else can we tell you? Is he going to make a mess? Yes. Do you have to change the paper daily? Yes, Please! It looks like you might be using some kind of litter - watch he doesn't eat that, and watch for moisture buildup. Baby wipes do a great job on wiping the grate, but vinegar and water in a spray bottle plus a paper towel is just as good, maybe better because of the nontoxic part. Is he going to get on your nerves sometime with his vocalizations? Count on it. Is he going to mess up something you wish he didn't? Yeah, probably. Don't allow him access to your deed to the gold mine and priceless diamond rings. Do you really have to change the water every day? Yes, you do. He may try and bathe in his water, fouling or spilling it away. Also, microscopic bad guys may breed in standing water, as you recall. Fresh water, and wipe out the bowl with some soap every day.
Toys- he needs them. Fortunately, since his perspective is different from ours, mostly anything is a toy to him. Plastic bottle caps, the lid off your pen, twigs, bits of cardboard, poker chips, seashells, kitty cat jingly balls, clean leather laces, popsicle sticks, wads of dried grass, clean wisps of straw brooms, clean jute cord, cotton rope, etc, etc, etc....... Or you can buy stuff designed for bigger than Budgie, smaller than African Grey (mostly). You can get him Budgie stuff, but it will die quickly. He will appreciate a variety of textures, things he can count on to always love (like seashells) and things he can destroy (like cardboard and twigs). He needs a rotation of toys so he doesn't get bored because he is VERY smart and he is locked in a box all day. Compare him to a dog - One dog is happy to be with you, chew his bone, chase his ball, and lie around. Another dog won't do with this - he also needs a job, needs to hunt, needs to tear stuff up. Your bird is more like this second dog, and if he doesn't get stimulation he will create it with excess vocalization and self destruction.
The cage- your cage looks nice, but I can't tell what the size is. It looks like my bird's sleeping cage, about 18" square. (Maybe you can post a link to it on the store website (easiest) or measure and let us know.) It's a good start, and I *do* realize you just started. If your cage is the 18" size, maybe you can use it for a sleeping or travel cage and then get him a larger one for every day. If you got the 25"x21" size, then I would quickly clean it back up and exchange it for one smaller that you could use for sleep/travel or one larger for every day. -Disinfect it, but don't tell them you used it a few days, of course..... Cruising the Petsmart Website from least to most expensive, this is the first cage I found that I would consider putting my bird in -- it is half the size of my bird's actual cage -- with *plenty* of out of cage time daily.
http://www.petsmart.com/bird/cages-stan ... 3Dcategory The next cage in the list is just $35 more, but a good bit taller - better choice, of course. Frankly, besides those, Petsmart hasn't got anything I would want to use. Some of the really, really expensive cages might be nice, but by the time you spend $680 and get the wrong bar spacing, you may as well shop elsewhere. This is my Ringneck cage, and I am *still* angsting over it being too short.
http://www.birdscomfort.com/doubleflight_bird_cage.html Other than that, I love my cage. We never use the divider.
Did you guess that housing is one of my pet issues?

Please have a look at the end of my photo thread to see how my cage looks in action. NOTE you will see two such cages placed end to end.
http://www.indianringneck.com/forum/vie ... =5&t=18437 ALso, please explore other options than those plain dowel perches. You need a variety of diameters so the bird's foot closes 50%-75% around the perch. I feel natural is best, so my bird has store-bought fir perches, an assortment of home made perches from butterfly bush, fig, kiwi, and grape as well as clean jute cord. Skip those shiny manzanita perches - too hard and slippery. Swings are good, especially for exercise. Since Sonic has lived outside and free, he should accept a variety of perches well, and I feel he deserves them.
That's all I can think of for now - I haven't had my tea yet and the dogs are staring at me. Best wishes for setting up your new friend. If you DO happen to find his family, though, you might find yourself out to buy a bird. As you may have noticed, purchase price of the animal is the least concern!