I can try giving her a stick, I actually never thought to bring one of her stick toys with her.
And she does that in every other room except my room, where her cage is. Everything in each room is practically the same except the size of the room and smell. Usually when I am in the other room with her and start to walk back to my room so goes nuts and jumps in her cage right away. Maybe the smells in the other rooms alarm her and it's not really "home" for her?
And if I give her a blanket to hide under, she'll just chew it. ^^ I hold her and put her on my shoulder as a way to hide. My shoulder is where she likes to go.