Some of them just don't like mealworms, sometimes they just don't recognize them as food. Keep trying them, and try leaving them in a dish in her cage overnight. She may eventually figure out they're food. What cat food are you feeding her? And what hedgehog food did you order? Most hedgehog foods are no good and are even harmful. High quality cat foods are what's actually recommended to feed. With quilling, they'll lose a lot of quills, they'll be grumpier, and they may not want their back touched. An oatmeal bath can help soothe their painful skin a little.
I'd recommend you do some reading on the forums, especially all of the stickies. There's a lot of information in them that might be helpful to you. There's also a book written by one of our moderators that's great - http://www.hedgehogbook.webs.com/