St. Louis Rams WR Stedman Bailey is making tremendous progress after being shot twice in the head last month -- walking and talking again and "getting back to himself" ... his agent tells TMZ Sports. We spoke with Tony Fleming ... who tells us Bailey is out of the ICU -- but is still hospitalized ... recovering in a special physical therapy facility in Florida. "He is getting his strength back and just taking it one day at a time. He is scheduled to be released out of the hospital on the 23rd." Fleming tells us the 25-year-old has been extremely grateful for the support of his team ever since the Nov. 25th shooting.