It's pretty normal for a hedgehog to be timid and defensive in a new surrounding. That's just their way. Be patient and gentle and she'll come around.
As for the dry skin, it could be a number of things. Putting oil directly on the skin is okay for temporary relief, but it's not a cure.
If you can get her to a vet, have them take a skin sample and test for mites. If it's a fungal or parasitic infection, you'll be given meds.
My Hilde had severe dry skin issues for a long time and I took her into the vet a few times for different tests.
Turns out the thing that helped her was calcium and fish oil on her food. That's something you could try yourself and isn't a bad idea anyway.