Gosh, it can be hard to say what's going on... especially with a new hedgie.
Level of concern? If my hedgie were doing what yours is, I'd be concerned enough to take a good look at him and monitor the situation, but I wouldn't be so concerned as to run to a vet right away. Certainly, if I saw more evidence of a problem, I'd be making a call... but not quite yet.
The scratching could be mites, dry skin, anxiety, a little boo-boo, a quill that's out of place... If there's one spot in particular that he's going after, take a look at it. Look between the quills at his skin and see if you can see anything that looks out of the ordinary - like a funny-looking quill, broken skin, a dry patch of skin... And, certainly, if you see any small things moving, that would be a giant clue it's mites; however, mites are small and not always seen by the naked eye. It's okay to part his quills with your fingers to look right at his skin... he may huff at you... and that's fine.
The quiet --> huffiness could be a few things too.
Give us a little more of a picture: How old is he? What kind of bedding was he on before he came to you and what kind of bedding is he on now?