As far as picking him up, I would avoid using gloves. You want them to get used to your scent and your handling them. With my little Hurley, we usually pick him up with one of the fleece pouches we have for him to snuggle in, or something like an old t-shirt or other piece of material would work. It's difficult to pick them up sometimes when they are all balled up, but I find that using a piece of material (even though you still can feel the quills a bit) makes things a whole lot easier.
As far as food, from what I hear (and I am new to the hedgie world as well, so don't take my word as gospel) is that when they are young and growing, it is ok to have food in there all the time, but once they are full grown (about 6 months) then you may have to be more careful about how much they eat a day so that they don't get too overweight (hedgies are prone to obesity).
Hope my advice is helpful! Welcome to hedgehog world and congrats on your new hedgie!