Hi My baby is only 2 weeks old and he is very good at getting out of his wrap. Today I found him out of his wrap and sleeping on his side. Is there anything I should do ?

Some babies do not respond well to wrapping & may wriggle to attempt to get out of the wrap/swaddle.
Most babies will resist wrapping from about 4 mths - but some much earlier.
Some babies like to touch their face with their hands.
You could try modifying his wrap by wrapping him with his arms out (using muslin wrap under his arms)
The other option is to not use a wrap at all.

It is still important to always place baby on back for sleep.

Red Nose has the following information about modifying wraps.

If you wrap your baby, consider baby’s stage of development. Leave arms free once the startle reflex disappears around 3 months. Most babies eventually resist being wrapped. Wrapping style should be appropriate for the baby’s developmental stage.
It is essential to discontinue wrapping as soon as baby starts showing signs that they can begin to roll, usually between 4-6 months of age but sometimes younger.
https://rednose.org.au/article/is-it-safe-to-wrap-swaddle-my-baby

Red Nose does not recommend the use of sleep positioners or anything that restrains a baby in a specific position.
https://rednose.com.au/article/is-it-safe-to-use-products-designed-to-keep-baby-in-a-particular-position