Mine are rarely a problem as they are not a flighty breed, but apparently it is best to clip one wing before they discover they can escape by flying - I know this advice is probably a bit late, but it might help with birds you have in the future
What I do find can work, with any bird or animal, is give them a good chasing and shouting at when they get out, so they get the message they have a nicer time when they are in. Of course if the "grass on the other side of the fence" is that much nicer than what is available in their bit you may be onto a losing battle
All the best
Sue