A lot of times hedgehogs won't really play while we're watching. When it seems they're disinterested, sometimes they really just want to sleep, or they're being shy and intimidated by your presence. Then at night, they have all sorts of fun with the toys you give them. Try leaving them in the cage at night (as long as they're safe to leave your hedgehog with unsupervised), and you might find in the morning they've moved around some.
Some hedgehogs, though, just don't really like toys at all. Try putting other things like fleece tunnels and other fleece toys (I have a pom pom) to mix it up. They might also like those crinkly toys for cats - it might just get annoying at night and sometimes the dye runs if it gets wet.
If he just doesn't take to toys at all, that's ok, and there's not too much you can do. About it. But like Honeywhistle said, they do love their wheels.