Hi, and welcome to HHC!
I personally don't recommend feeding any food (as a staple) that is not high quality cat food. Usually pet store foods for hedgehogs or insectivores are low quality, don't have the right vitamins, and are full of fillers. There is a list in the Diet and Nutrition forum of excellent foods. I would say gradually switching to a mix of a few of those, would be best.
To switch foods, you should start by giving the new food in very small amounts in addition to the regular food. Once your hedgehog is adjusted to the new food (and there are no problems, like allergies) you can increase the amount of new food and decrease the amount of old food slightly. Over a course of several weeks you can continue this, until s/he is eating only the new food.
As for biting on the cat toy, make sure s/he can't get their teeth/jaw stuck or cut on it. Also, if you think that hedgie will be able to bite a piece off, you should take it out. That would likely cause choking or intestinal blockages.
There are lots of ways to heat cages. You can try a ceramic heat emitter, or a space heater. There are several threads in the Housing Section that discuss this as well. You can look at stickies, or do a search to find more info.
Good luck with your hedgie!
PS, we can help you sex it if you like. If there is a "belly button" in the middle of the abdomen it is a male, and if there is a similar opening very close to the tail, it would be a female. If you are unsure you can post a pic of the underbelly.