Oh my gosh, he's so cute! Congrats!
One question, is the heat bulb an MVB? If not, you need a
UVB bulb ASAP. It's as important for Frillies as it is for Beardies. If it is an MVB (or even if it isn't) I would highly recommend replacing the cage-style fixture with a solid dome fixture like this one:
http://www.bigappleherp.com/Zoo-Med-Repti-Extra-Deep-Dome-Lamp-Fixture. Using the cage fixture causes much of the heat and UVB to escape before it even reaches the cage, as well as exposing you to that UVB radiation (if it's an MVB) and unnecessary, unattractive light and glare where it doesn't belong. The cage fixtures are useful for CHEs, but not for light bulbs.
You might also consider putting a fluorescent or other light source over the cool side so the enclosure is brighter--definitely a benefit for the average diurnal lizard.
Another note, more hiding places would be a good idea. More leafy vines (you can get 6' garlands at craft stores pretty inexpensively) to wrap around the branches, string across the cage, and drape toward the floor will give Fred more places to hide and a greater sense of security as he traverses the cage. I don't know how arboreal Frillies are, but a good hide in that dead space on the floor of the cool side would be a good idea, too, in case he wants to use it. You could even make it a humid hide (with moss) if you're having trouble keeping humidity up otherwise. The increased sense of security should help him settle in more easily, too.
About the new home anxiety, in addition to the increased hiding spaces I already talked about, don't handle him (if you already are) except when necessary, don't open or otherwise disturb the enclosure except to do water changes and to feed, limit "feeding time" to delivering the food and leaving the room, and, as has already been mentioned, cover at least 3 of the enclosure's sides, at least for a week. That time alone will give him a chance to become relaxed within his living place. Once he's comfortable within his new home, you can go back to a normal schedule (though taking handling slow at first would be good to reduce the chances of him getting overwhelmed and overly stressed again).
Just a few suggestions and ideas that seem to work wonders with any baby reptile. Good luck! And don't forget to keep us updated as he grows... :mrgreen: