Handling a hedgehog can be a strange experience and so you may find it initially difficult. It is very important to get your African Pygmy Hedgehog out every day and socialised, as they can otherwise revert to being quite huffy and shy.
A good breeder should have handled their babies from a young age, and so they should be used to people. Older animals may be harder to tame but can become happier with you if the time and effort is given. It is worth remembering though that some African Pygmy Hedgehogs may not enjoy handling but may be perfectly happy and friendly freeranging on the floor or in an enclosed space. It will depend on the personality of your hog.
A well socialised hedgehog is unlikely to bite but care should be taken to wash hands before handling especially if you've been cooking and may have a strong scent. If your hedgehog does bite then do not return them straight to their cage, and blow gently on their nose to discourage them.
When you first get your hedgehog a good investment can be a bonding pouch - this allows you to carry your hedgehog around with you whilst it gets used to your sounds and smells. There are several custom made ones for hedgehogs as well as ones for larger creatures such as rats that can be used. The bonding pouch can be left in your hedgehogs cage during the day so they are familar with it and with your scent.
When you first get your hog you should only handle for short periods of time a day. You may need to get accustomed to your hedgehogs habits to find a time of day when they are most comfortable being out.
When you first try to pick up your African Pygmy Hedgehog use both hands to scoop from either side and pick up from the belly. You may find they raise their spikes and ball up. Although the raised spikes would not draw blood, the feeling of them can be a little uncomfortable. To begin with it may help to use a piece of cloth or towel to wrap round your hedgehog to protect your hands. You should not wear gloves unless you absolutely cannot handle without them.
You African Pygmy Hedgehog may also "huff" at you, which is surprisingly loud! They have a wide range of huffing, popping, clicking and even growling noises.
Some Hedgehogs are happier once they are out, so another option is to use a large fabric tunnel or tube such as those sold for ferrets or rats. You can then get your hedgehog to walk into this and pick up whilst blocking both ends. If you are not confident picking your hedgehog up yet then you do need to make sure you place your hedgehog in an enclosed space to prevent escapees.
Some keepers choose to use a large bath, or buy a playpen such as those used for dogs and cats. These areas can be filled with a variety of toys and food to investigate. If you are letting your hedgehog run free in your house you must keep a close eye on it to make sure it does not run under a piece of furniture and become stuck. Interaction with small children or other animals is best avoided, and should only be done under very careful supervision.