It sounds like they're wings aren't clipped, or aren't clipped well enough. Clipping their wings will go a long way in their training, since they'll no longer be able to fly away.
Also, have you tried getting away from their cage? Take them into a room that they're not familiar with, or they'll spend the whole time trying to get back to their cage. It doesn't matter whether they want to be locked up or not... the cage represents a safe place to them, but taking them away from the cage will expand their comfort zone.
Work with them individually, but make sure they're both in the same room. If your birds are anything like mine, they'll call to each other constantly if they can't see each other, which could distract from their training.
If they're being kept in the same cage, you might consider separatinng them into two different cages, but keeping them in the same room so they can still see each other, and letting them play and socialize out of their cages at least an hour a day. This one is controversial, since some people believe that birds need other birds to be happy. They don't need to live in the same cage, though. Being able to see and hear each other, and then have visitation time out of the cage should be enough, and will prevent them to bonding to each other so they'll be more interested in you. Birds that are kept in the same cage are often more difficult to tame, because they don't care about making friends with you because they have each other. Also, giving them their own cage will minimize the eventuality of fighting.... the more personal space a bird has, the better. Just a suggestion.
Otherwise, you're doing every thing right. How long have you had your birds? It took me over a year to tame Cami, and she has her own cage and everything. Some birds tame faster than others. A lot depends on where they came from, how old they are, and how they were treated before they came to live with you. Don't give up! You'll get there!