I have 2 gliders. One I have had for 6 months the other I rescued (I'm his 3rd home and I have had him for 3 weeks now)
My female I have had for 6 months does that. She will climb on me and then run off. She just loves to explore so much! But she comes back to me every now and again to make sure I'm still there and climbs on me just to glide back to the floor and run off again
The male I rescued stays on me for dear life. He is a huge cuddler and would rather me walk around my room so he can look around and explore that way.
Sugar gliders are all different. Some like to explore and play while other's would rather stay on their owner (or close to) while out.
You've also only had your glider for a little over a month. There is still lots of bonding to do. Just show him love and give him treats and just take things slowly. You might not realize that he is bonding with you but he is!
If you want you can sleep with fleece strips for a couple of nights and then put the strips in his cage so he knows your scent. Also just sitting on the ground while he is out running around is a good idea. He will come over to see you and if you just sit there he might climb on you more.
But the key is to take things slow and show lots of love and you guys will be bonded! Hope this helps!