To pick up your hedgehog you will need to cup it from underneath. This works well if it is in wood bedding. You just reach underneath and lift it up. This can be done even when the hedgehog is in a ball and it should then unroll in your hand.
Hedgehogs sleep most of the day. The best time to play with your hedgehog is in the early morning or evening. When you wake up your hedgie it may click or huff and ball up. This is normal and the more you handle it, the more it won’t mind you “bothering” it. If you want the hedgehog to get used to your scent, you can sleep with a piece of material, fleece is best, and then put it in your hedgehog’s hideout.
The more your handle your hedgehog, the more friendly it will be. Make sure you wash your hands before handling the hedgie or it may smell food and bite.
Hedgehogs can perform a strange habit of self-anointing or “anting” whenever they encounter an unfamiliar object or odor. They will lick the object repeatedly until frothy saliva forms in their mouth. Then they rub the froth all over themselves. It is something strange to see, so don’t worry if you find your hedgehog doing that one day.