Some hedgehogs take a bit of time to get the hang of using their wheels
You can put him on the wheel. Then gradually start rocking it slightly. That should help a bit. Put treats/insects/food on the wheel to encourage him to go near and to attempt using it.
It can also very highly depend on the wheel. A lot of people dont recomend the saucer wheel for many reasons. Some of which are - 1 They dont seem to hold older hedgehogs as well as babies 2 long term it can end up hurting their backs just like having a wheel too small can 3 the ridges can be very rough, so after long periods of running which most hedgehogs do it can cut their feet.
Not all wheels with ridges are bad if they had round smooth ridges they dont cause problems. A lot of peoplw prefer wheels without ridges though. Some hedgehogs run better with the ridges though (believe me I wasted money on an expensive non ridged recommened wheel, and Holly hated it, prefers having the ridges)