Hi Gabriela, welcome!
If you have a smaller and safer room to let your birds out in, such as a bathroom with the shower curtain/doors closed, toilet lid down, closets and cabinets and drawers closed, and any other small or dangerous areas covered or removed, this is a better way to teach them that they can feel safe outside of the cage. If they're new birds, they could be skittish and flying around aimlessly because they're panicked. A smaller space means fewer things to get stuck in or behind or to crash into. You can also use this smaller space to get them more accustomed to you if you're nearby and speaking softly to them or offering them food.
You don't mention how long you've had them but it sounds like if they've only been let out of the cage on one occasion, they may be new to the home and scared. Often new birds need a few days to acclimate to their new surroundings and I would recommend letting them stay in their cage relatively undisturbed anyway.