hedgehogs are very scared little creatures.. I had peviously bought one from a breeder, who hand raised them.. and even then, all the hedges were really scared of people and other animals.
Make you sure play with it ALOT, and be patient.. because they are little buggers to tame. they need to have their nails trimmed by weekly, and most i've known like baths.
Feed it a high quality cat food, and crickets/or mealworms are a treat.
Good luck with your research .