Congrats on your new hedgie!
Are you a nervous wreck like I was?
It is totally normal that he's a little afraid of you. The hedgie bag is a great idea. You can also pick him up with folded up fleece to get him used to being held out of the bag. Mustache was as scared of me as I was of him when I first got him, so I did the fleece thing and it's been 2ish weeks and he's perfectly fine with being picked up now.
As for him rolling in the litter, Stache did that too. I ended up taking the litterbox out because he would play in it and I was terrified he would eat it.