I just posted this photo on another thread, but it shows the things in my cage. The tunnel you have (I assume you made?) is very much like the one across the back of my cage. My hedghehog loves that tunnel and it's his preferred sleeping spot.
I use wood pellets in the litter try under the wheel. The little house in the back left is his dig box. It has strips of fleece and some pom pom balls.
As for the food, they say that almost all hedgehog foods are not as good for them as certain dry cat foods. Though recently there was mention of a new brand of hedgehog food that seems pretty good. I just don't know which one.
I found this link most helpful (after reading the nutrition sticky on this forum).