Thanks for the replies. And I agree... he is super duper cute.
Rocco has been sleeping on an old T-shirt since we got him (that and my husband's socks too for a while... not sure how he can stand them, but he slept on them for a good few months!). As for the mealies, we've tried leaving some in his food dish and they just ended up dying in there and he ate around them. Very strange. Any other insects that any of you have found they like?
Also, we recently got him a little pen for while he's out with us (it was actually meant for hamsters, but apparently hamsters can maneuver their way out, but hedgies can't!). So we try taking him out and just leaving him in there for a while with his wheel, his blankie, and some treats, but he just sits in his ball the whole time and eventually falls asleep. Does this seem like something we should continue to do?
We also put him on the coffee table (with nothing on it) so that he has nowhere to hide (saw this trick online to force them to interact). If I put my hands flat at the edge of the coffee table, he'll actually seek out and walk across my hands onto my lap so he has somewhere to hide (and no biting!). This is the best type of interaction I've had with him, but he still hates to be touched (for some reason, especially when he's pooped and we try to clean it before he can walk in it... that's the time he likes to back up and ball up the most... so that the poop spreads and gets all over him, of course). I'm pretty sure this is progress, so I'm not complaining, but it just feels like I'll never be able to touch him without him freaking out... even when he's at his "happiest". I get so jealous when I see videos online where people are rubbing their hedgie's belly or holding and petting them without a freakout occurring. I hope this will happen sometime down the line for us...