Try different baby foods. Peach was a big hit here. There are also some that are more meat based that go well. Just make sure the ingredients are the fruit/veggie and water, without sodium or onion powder. If your hedgie likes these, they're good because you can freeze them in ice cube trays in serving size portions, then put them in a ziploc bag so you can use them for a month or so instead of just the "2-3 days" stated on the jar.
Unseasoned chicken/turkey is also good. If you're making some for yourself, you can save a small piece for your hedgie.
Scrambled eggs also go over well most of the time. Put the egg in the microwave (don't fry it) and don't add any seasonings. The hedgie only eats a little bit, so you can enjoy the rest. Cut up pieces of boiled egg are also good.
For safe fruits and veggies, check the list: viewtopic.php?f=6&t=60
When it comes to the bugs, have you tried canned? Some hedgies are afraid of live bugs, but will readily eat canned ones. (By they way, freeze dried have no scent and hedgies usually don't like them, if you tried those and got no reaction.)