This page is dedicated to everything about hedgehog behavior and disposition.
Solitude: Hedgehogs are solitary animals. They do not want or need friends. If you have more than 1 hedgehog, you will need a complete separate setup for another. Most hedgehogs will fight each other violently, resulting in injury or death. Sometimes hedgehogs can become bonded to each other, females are easier than males but if you don't know what you are doing, you should not attempt this.
Playtime: This holds true for playtime as well. Your hedgehog does not want to play with another hedgehog.
Bonding: Young hedgehogs require lots of attention in order to become socialized with their owners, try to aim for an hour a day. When babies go home they are in the process of quilling, which means they are in a lot of discomfort as they gradually lose their baby quills and have adult quills growing up through their skin. Your baby will have some grumpy days and that's ok, just keep at it. I strongly recommend using cuddle pouches and bonding bags all made from fleece. There are many good options to choose from on Etsy and among Facebook groups. Even a hoodie worn backwards with the hedgie in the hood, or worn in the pocket of the hoodie will suffice. Bonding is easier when it is closer to their awake period, but you can still hold a sleeping hedgie during the day while watching tv or surfing the net or wear them in a bag while cleaning the house, it all goes towards building trust with your hog.
Negative Reinforcement: Never use negative reinforcement on your hedgehog, it will only teach them to fear and dislike you. Always reward them for unballing or performing a "trick" or learned behavior.
Quilling: Hedgehogs quill several times which is painful and can cause acute grumpiness. Oats in baths can help sooth irritated skin, go easy on the scrubbing of the quills during this time. If your hedgehog is loosing quills and is not growing new ones in, there is something else going on and you need to see a vet.
Shedding: Your baby hedgehog will go through several quillings. Your adult hedgehog will shed occasionally and you may see a few quills in bedding or fall out during play/bonding time. Some hedgehogs quill up to a year, it is extremely rare for a 2 year or older hedgehog to quill.
Sweeper: You should invest in a good sweeper, quills end up all over and stepping on them isn't pleasant!
Defensive Behaviors: When threatened, your hedgehog will roll into a spikey as hell ball. This might happen while holding, so don't drop it! Hissing and huffing usually denote mild irritation, popping and clicking usually occur when your hedgehog is more frightened or feels more threatened. I even have 1 hedgie (new to the herd at the time of this writing) that growls. Headbutting is your hedgehog's way of attacking, they can do this to you, other hedgies, inanimate objects, it's all fair game when they're cheesed off. Biting as an attack is usually a last resort, but can happen. Make sure that when your hedgie bites, it is not for anointing purposes and try your hardest not to react in a negative way.
Jump Scares: When your hedgehog huffs, they will most likely jump (usually towards the direction of the touch). Try really hard not to react like you're watching a thriller and don't jump as well. This will go a long way towards building your confidence with your hedgehog and building trust from them.
Anointing: Hedgehogs have a unique behavior called anointing. Signs of impending anointing are heavily sniffing the air (called the flehmen response), lip and jowl licking, licking objects and fingers, and ultimately biting. After chewing on the scent they make a spit paste in their mouths, fold and contort themselves in weird positions (sometimes accompanied by whole body shaking that looks like a seizure), then they plop that foamy spit paste on their quills. If they have anointed with fruits or veg this can leave a colored foam. Do not be alarmed if you gave your hedgie strawberries and they later look like they could star in an 80s scream queen flick.
Vocalizations: Hedgehogs don't just make noise when scared, they have a range of vocalizations and each is used for a specific reason. Here is a link to Hedgehog Bottom Rescue's collection of recorded sounds that European hedgehogs make. The sounds you will here from your African Pygmy Hedgehog are close to if not exactly the same.
Dreams: Hedgehogs are believed to dream and subsequently have nightmares. There is a variety of anecdotal evidence reporting snoring, restless legs, and the dreaded scream of death. I myself have had 1 scream from a sleeping hog.
Private Time: Prepare yourself... hedgehogs masturbate. Both genders will perform this dirty deed, however the evidence left behind by girls is usually nonexistent while the boys will usually leave you a mess. The easiest way to deal with this is to clean it as soon as you notice it, if left to dry it can be very difficult to remove.
Body Language: Hedgehogs exhibit a multitude of body language. The infographic below courtesy of Prickle Pack Hedgehogs showcases a wide range of body language and can help you figure out just what your hedgie is feeling or communicating.
Sploots/Splats: If you see your hedgehog splooting/splatting, check and make sure they are not too warm. You can provide your hedgie with a "cool side of the pillow" by adding a plain (or fancy) ceramic tile away from the heat source.
Fun Extras: Hedgehogs also fart, yawn, and do full body stretches.
Memory/Ability to Learn: Hedgehogs have memory and are able to learn simple "tricks". Much like a mouse or rat, a hedgehog can run an obstacle course or maze. This is both a blessing and a curse. When you frighten, scare, or hurt a hedgehog, they will remember it. When a hedgehog learns how to escape a cage or palypen, they will remember it. When a hedgehog learns that it gets treats for doing certain actions, they will remember it. I play a game where I lead my hedgies around the floor with a worm in my fingers and they have to catch it, now I don't use the worm and the game is still played. Basically this allows me to lead my hedgies where I want them to go without startling them, all I have to do is drag my finger on the floor or out of their hide or whatever the case may be. I do make sure to still give them a reward in the end, or the new learned behavior will be leading equals no treats. This also means that if they hate nail trims and bath times, even being held, if all goes well, eventually they will learn that all of these things aren't bad and they won't fight it. This is also why hedgies get stressed when moving or when their furniture is drastically changed, because it's not as they remember. I've seen many instances of hedgies picking up a learned behavior, give it a shot some time, make a silly game like pushing a ball to a designated spot or make a little hedgie obstacle course, just have fun with it.