Usually roaming (and escaping) is the animal looking for a way out, and into a "nicer" home. For ball pythons, this usually means a more cramped space. I would use some type of aspen or carefresh bedding in the bottom of his cage to give him the option of burrowing. In addition, cover the sides like suggested (heck, why not cover all four for now?) and stuff newspaper all over.
I think everyone is right that he is stressed and insecure. Make those changes to the tank/tub/whatever, and leave him be for at least a week. (2 weeks is probably better). I would try to find another heating source - one that doesn't give off light. I'm sure he is craving a small, dark, space. Not a zombie mouse dancing in his face.
Also, has he defecated at all in the time that you've had him? If not, perhaps his system is "backed up" ? That would warrant a trip to the vet.