I've only had my little boy about a week, but each night I take him out to play and cuddle, he seems to get more relaxed. The first few nights were frustrating, he just huffed and puffed and stayed in a ball. But after just a week, he is more interested in walking around and exploring the couch. I was thrilled to bits when he basically crawled into my hands when I took him out of his cage last night, rather than huffing and hiding under his liner.
I don't have much experience, but it seems patience is the key. He seems to totally dig his foot baths, he skitters around the sink then just wants to run around and dig when I dry him off. Each day he gives me a little reward of showing new behaviors and more interest in me and my boyfriend. I even got a little hedgie kiss yesterday.
Good luck with your little one!