A smallish cage is better to transport them in, with a light blanket to cover the cage with as this helps to keep them calm during the travel as cars, loud noises and lights etc can freak them out. They tend to refuse to eat and drink in the car so I usually peg some leafy greens in the cage next to the perch as well as a millet spray so they can nibble on these easily (as well as a dish of food and water).
It's so exciting bringing home a new bird, please feel free to post about any other queries or questions you may have!
There is a Sticky article about bringing home a new bird here.
Hi LollyPopper! Vickitiel already gave some excellent advice, but I just wanted to add that you can buy him a special bird carrier online or from a pet store. It will be useful for vet visits and other occasions as well.