Poor little one!
I'd also recommend changing his bedding to fleece. It can be as simple as getting a fleece remnant, washing in unscented detergent, and cutting to size. Heck, even a pillowcase could be a temporary alternative. The reason we're suggesting fleece is so hedgie's nails do not get caught in it - they can get caught in other fabrics.
And would also change his good from the "hedgehog" food to high quality cat kibble. I know, it sounds funny at first that feeding a hedgehog cat food is a better idea than hedgehog food.
Finally, a vet visit is definitely in order.
Congrats on your new buddy.