First of all, DON'T Panic. Quietly watch and see exactly what is happening.
Is he choking because there is a piece of food in the roof of his mouth. If so, quite often they gag sometimes to the point of vomiting to try and loosen it. As long as the hedgehog is able to breath on his own, just quietly talk to him and tell him you are ready to help if he needs it. Often they will be drooling and the drool will help dislodge the food too. Most of the time they can get it out on their own.
If it continues or the hedgehog starts to paw at his mouth, pick up the hedgehog and gently put your thumbs at either side of his mouth and wiggle so his jaws open. If you can see the food in the roof of his mouth, you can use the tip of a small syringe, or a q-tip (with most of the fuzz off) to try and dislodge the food. You need to be very careful that you don't push the food down into his throat. Put the syringe in as far to the back side of his mouth as you can and gently flick up and forward. I can't stress enough how careful you have to be that you don't push the food back further.
If the hedgehog is obviously choking and cannot breathe, you can do the small animal Heimlich. Lay the hedgehog on his back in your hands with his bum towards your body, head out. Make sure his back and neck are well supported by your hands and you have a good hold on him. Hold your arms straight out at shoulder height and rapidly swing down. You may have to do it a couple of times. Make sure you do not let go of him and remember to support his back.
Chances are good, if a hedgehog seems to be choking, it is because something is stuck in the roof of his mouth. If your trying to help upsets the hedgehog and is making things worse, as long as he is able to breathe, it is best to leave him be and quietly watch.