A healthy hedgehog's nose will be moist like a dog's. If you see excessive dripping or bubbling snot, that's a problem. Licking the nose on occasion is normal, but constantly licking can be a sign of a runny nose.
What kind of noise is it? Hedgehogs aren't very noisy animals, but they do have a lot of subtle vocalizations. You could be hearing what I call "tweeting", which is a sort of whistling sound that comes when they're exploring or snuffling around, or just plain happy and comfortable. If you're hearing a wheezing sound, that's also a sign of a URI.
It's not a bad idea to get a checkup with a vet within the first week or two of bringing your baby home, once you figure out what's normal for her. That way you can establish a relationship with the vet before any problems actually arise. Also keep in mind that a transition to a new home is a stressful time, which can lead to a decreased immune system. From what you've described it sounds like she's probably fine, and it's most likely new-hedgie-parent paranoia, but if a vet check is going to make you feel better, go for it.