When you go to pick him up, try to make sure that you approach him from the front or the side, not from behind or above (as a predator would). That might help him realize that you mean no harm at first. Also try to get your hand under him so that you support as much of his weight as possible until you get him settled -- when they don't have all 4 of their feet on something solid they tend to get frightened that they're going to fall, and often flail around. It sounds like he's already learned that you're warm and harmless when you're holding him, so it shouldn't be too long before he learns that getting picked up is just what comes before that.
When we pick up our beardie, we know it went well if we don't get slapped in the arm with his tail. :wink: