When picking up your hedgehogs it is best to do it with your bare hands. (So they can learn your scent.) The best way to do this is to put one hand on either side of the hedgehog's body. Then, you 'scoop' them up. If you are afraid, try picking them up along with some shavings. It lessens the poking that will happen.
Hedgehogs are naturally prey animals. Their defense mechanisms are to huff and ball up. This is normal behavior. Do not let this intimidate you, it will improve over time. It is important to keep handling and not give in to what the hedgehog wants, which is to be put back in their enclosure.
It is very important that you bond with your hedgehog. Hedgehogs do not have very good eyesight, and bond with you based on your scent. We recommend putting an old t-shirt in their cage with them so they get used to your scent. It is best to spend 30-60 minutes a day with your hedgehog as soon as you get them home. This will help greatly with bonding. Bonding can look like different things for different hedgies. Some hedgehogs will like to sit in a bonding bag on your lap while others prefer to be active and explore. Do whatever works for you.
It does take some time and patience to bond with your hedgehog. Remember, they are naturally prey animals, so trusting may take a while. Some hedgies bond quickly, while others may take six months to a year! Just be consistent with handling and bonding, it will happen.