Some will take cottage cheese and even bananas. Just be careful, hedgehogs put on weight really easy. An African pygmy hedgehog eats an average of one third of its own body weight each night. Hedgehogs bred from quality stock and handled frequently at weaning age soon become acclimated to their new environment and become very tractable pets. Hedgehogs are good climbers, don't let their little legs fool you.
Hedgehogs are nocturnal.
They usually start to move around at twilight and may still be active as dawn approaches. In the wild, the nails of a hedgehog would naurally wear down. Pet hedgehogs require regular nail clipping. For the vast majority of hedgehogs, there is little or no social life. They are happy being housed alone.