Since you've only had it for 4 - 5 weeks it's now finding its place in its new environment. Like what's already been said; Huge hand, plus, little dragon = big fear.
The other baby could naturally be more tolerant of handling, or, it could be dealing with its fear in a different way. Either way, it sounds like they've got two different personalities. But, that's not to say that either one of them won't turn out to be very handleable.
Notice that I used the word "tolerant," like PHLdyPayne used "tolerate." I agree that "most just tolerate it" (handling). Some appear to like it but most seem to just tolerate it. I personally beieve that every bearded dragon can be taught to tolerate handling, keeping in mind that there are varying degrees of toleration (too deep for this ol' shallow mind of mine to get into at the moment).
With most reptiles, including beardies, I feel that there are two common ways to get them to tolerate handling. One way is the old-fashioned "bulldog" way, just grabbing hold of it and forcing it into submission. The other way is the gradual approach, gradually getting them used to your presence, then your touch, then handling. With beardies I like the 2nd option.
Sit down in front of its cage for a few minutes at a time, watching it but not touching it. Do this a few times throughout the day for a few days. Use an eyedropper to give it some water. This will help teach it that you are a provider, not a predator.
After a few days or so begin slowly trying to touch it, rub its head and back just a few times & stop. If you do it too much right off the bat it might get scared.
After a few days of that you can begin picking it up to handle it. It will most likely still try to get away from you but nothing like what its doing now. Go ahead and capture it, hold, pet it and maybe even talk to it a little. Try to comfort it.
Usually within a minute it will stop squirming and sit there but if you open your hand it'll be gone, take off. I usually pet it & talk to it for just a few seconds after it settles down & then return it to the cage. In a way I'm trying to teach it that if settles down it will get its way, I'll set it free.
If you do this every day it shouldn't take you more than a week to have a fairly calm dragon that you can at least let it rest in your hand or on your shirt without it taking off away from you.
Keep in mind that beardies will jump out of your hand or off your shirt/shoulder. I recommend working with one while sitting or laying on a bed so the bed will cushion its fall.
Your dragons are in an impressionable stage right now. What you teach them now will likely burn in their memory for a lifetime of use. If one bites you & you immediately put it back into its cage or stop holding it, it learns to bite in order to be left alone. The same goes for a flighty one; If one constantly runs from you & you let it, guess what its going to learn?
You're most likely just going to have to work a little harder with the one beardie, but do it. You'll be glad you did.
Hang in there!
HH
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Due to political correctness run amuck,
this ol' hillbilly is now referred to as an:
Appalachian American