Handling a hedgehog is not like picking up a kitten or puppy. Patience, and relaxed movement are needed until (at least!) you and your hedgehog understand each other.
When a hedgehog is in a ball, the quills are erect and feel stiffer, making it more uncomfortable for you. This makes the ball of quills feel sharper than a relaxed hedgehog, though they are actually the same animal. With some patience on your part, most will become much more pleasant to hold as they get over quilling, and become more used to you. When they are relaxed, their quills will fall flat on their back.
The more you handle your pet, the more it will get used to you. Do not use gloves when handling the hedgehog, as this masks your scent, and most times really scares the animal.
Do not take it personally if your hedgehog ‘huffs’ and/or balls up when you go to pick him up. This is a normal, instinctive behavior.
Hedgehogs are instinctive animals. They react first and ask questions after. This means that you need to respect them. Talk out loud, and make them aware of your presence.
When approaching, always move your hand under their side. Reaching down from above is likely to get you poked, and startle your hedgehog. Slide your fingers underneath the hedgehog to distribute the weight and easily pick him/her up. Even if they jerk/jump/huff – commit to picking them up. Once you have done so, most hedgehogs will come right out and relax quickly. Some can take a bit of time to unball, you should just hold them quietly and let them relax.
With time, most hedgehogs get to know you and will anticipate your visits/handling.
Put something in the cage that smells like you, like a shirt. This will make the bonding process easier on you, and your new pet.