Hi there! And congratulations on your new hedgie
I can offer a couple of bonding tips. A lot of forum members will sleep in a shirt or with a piece of fleece for a few nights and then place it in hedgie's sleeping spot in the cage, this helps them to equate your scent with comfort.
My favorite (and Mal's fav) form of bonding is when I put her in a fleece snuggle bag and just let her sleep on my lap while I watch tv/read/take care of stuff on the computer.
Good luck, and never be afraid to ask questions on this forum