Yep.  If he doesn't, are you sure you have a hedgehog?  The snuffling or
snorting (or snurfling, as my wife calls it), while having the head tucked
down, is part of the defence mechanism that has kept hedgehogs around for a
very long time.  It basically leaves them with their quills protecting every
bit of visible surface, but still allows the hedgehog to move.  The snuffling
and snorting is usually accompanied by sudden lurches in the direction the
hedgehog believes its potential enemy is in, to try and give it a good
warning prickle.

The more your hedgehog comes to know you, the less you will get the sharp
shoulder treatment.  One exception to this is if your hedgehog is sleepy.  A
sleepy hedgehog can be very insistent about not being disturbed [3.1].

Getting your hedgehog to become familiar with you takes a lot of patience,
but it is worth it.  If your hedgehog tends to be somewhat shy or unfriendly
towards you, try spending more time holding him -- chances are he just
doesn't associate your smell with being a friend, yet.  For more information
on getting your hedgie used to you, see section [4.6].