All of the advice you've received here so far is great. I'd just like to add something I've found to be helpful. Assuming your little Iguana is being housed in a glass-sided vivarium, try covering the glass with newspaper about an hour before you want to interact with him. It will help him to realize that he can't run through the glass to escape and he'll be less likely to bounce off walls and injure himself.
Use newspaper instead of a solidly colored material so that he can plainly see a wall. If you were to use black paper he might still think there's some depth there.
And I wouldn't leave the paper up constantly. You want him to be able to see you when you're outside the cage, so that he gets used to you, and hopefully he'll eventually realize that you're not a predator.
Good Luck!!

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