First of all congrats!!!
Secondly all first time owners should read this book in it's entirety viewtopic.php?f=2&t=18325
! Just click on the link and download the free PDF.
Just let him get used to you he should warm up to you. Handling him in a bag is a great idea at first. Also you could try putting a shirt inside his cage that you have worn to bed for a couple of nights. Put it where he likes to sleep so he will associate your smell with comfort.
It's always a good idea to swap out shirts, so after a few days you can a have another shirt ready to replace it with.
Unfortunately some hedgies never get the whole litter training thing so don't be discouraged if he plays in it instead of using the bathroom in it. Most hedgies poop in their wheel anyway.
Have fun with your little guy. Don't forget to post pictures of your baby!!!