Budgie Behavior

I was recently given two budgies. They seem rather uneasy (scooting away from me as I approach the cage, not very active/playful, etc.), but I suspect that's normal because they're in a new environment, right?

One of the budgies has been acting rather erratically. She'll (I think it's female) squawk and flap her wings as she scuttles side to side along the perch, which slightly alarms the other budgie (male). She occasionally "chases" the other budgie away and seems a little territorial with the food.

Also, I noticed she constantly, "chews" at the air. Is this normal behavior? If not, what may be wrong with her and how can I help her?

Thank you.