What wheel are you using? Can you post a picture? Many wheels are not good for hedgies. If your wheel has slits it can rip nails or toes.
Your Hedgies behavior is pretty normal. Do you have a snuggle sack or a fleece blanket? The best way to to bond at first is Just letting the hedgie sleep on you in a blanket. They can get your smell through the blanket while feeling secure and comfortable.
You can also sleep with a t-shirt for 2 or 3 nights and then place it in your hedgies cage. Your hedgie will,most likely sleep in it and get used to your smell.
Good luck and congrats!