Help with a conure... he refuses to play with toys?

About a week ago I added a nanday conure to my family. I had read that they love to snuggle. My problem is he wants to do nothing other than snuggle. I let the cage door open all day and he follows me (or any other person) from room to room, squawking until he can sit on their shoulder. He refuses to get down or play with any toys. Will this change as he adjusts to the new home? How can I get him to want to do anything other than sit and play with hair?