I've had my girl since March, and we are still working on bonding. Some take longer than others but with routine and diligence, they should come around.
You should let him adjust for a day or two - no picking him up, no disturbing him. Just feed, water and cage clean but otherwise let him be. Then try to hold him once he's had some adjustment time. It can be very stressful for them to move into a new environment with new sounds and smells, and on top of that have someone that could very well be a predator (in their minds) trying to hold and play with them. Give him a few days to learn that you aren't going to hurt him - remember, they're prey animals and their first instinct when scared is to protect themselves by hissing and rolling up in a ball.
Hedgehogs aren't, by nature, snuggly. If you're hoping he will behave like a puppy or kitten, and snuggle up to you and want attention - you may not get that with him. All hedgehogs are different. It's too soon to tell anyway, especially if he is young. You'll have to give him more time before you really know what kind of hedgie he will be.
Good luck with your little guy!