I think the others pretty much said it all
If your beardie does decided to run out of your hands (and most likely will... they like to explore), and you can't catch him, you might have the urge to grab him by the tail because that seems like the only way you'll ever be able to get him back. Please, do not do this. That can hurt them. I've had to tell this to countless people who were new at owning a bearded dragon & they would just grab them by the tails and pick them up. No.
If you're having trouble getting him back, put your hand in front of him (don't worry, he won't bite you), and just try to guide him back to a more open space.