I think it's usually recommended to let them go straight into their new cage when you get home (which I guess you've already done) and then leave them alone for a couple of days as Cypher says, to adjust to their new home and build a nest and do some scent marking in their cage so they can find their way around. Also don't do any cleaning in the cage for the first two weeks - even if it gets a bit whiffy. After two weeks they are usually settled in and feel like it is home, and then you can 'spot clean' - ie take out the odd handful of substrate that has been wee'd on and replace it with another handful and mix it in with the old. If you take all their scent away they just wee more. I'd really recommend getting a potty litter tray. I put one in after a week and our hamster started using it straight away and actually liked it. He will choose a corner of the cage for his toilet. They're quite clean really and tend to wee in that same corner each time. When you know which corner it is, put the potty tray in that corner with some litter or chinchilla sand in it and put some of the wee'd on substrate on top and he should just start using it. I didn't know the thing about putting wee'd on substrate on top when I put mine in and the hamster just used it anyway. He was so cute, he would wee in the back corner and then sit in the front and wash himself like it was an ensuite bathroom.
This is the one I got - fits nicely in a corner.
Hamster Potty corner Litter Tray for Mice Hamster Gerbil Cage House. Size: 16 × 7 × 12/12 cm: Amazon.co.uk: Pet Supplies
For the first few days he might see you as someone trying to come into his cage to attacking him so he might run at you. So try to just put food out when he's asleep and don't disturb anything else.
After about 3 days you could try offering him a treat through the bars and as Cypher says, keep talking to him in a gentle voice. Once he's taking a treat through the bars you can move onto putting one in your hand and he might walk on your hand to take it. Sometimes pet shop hamsters take a bit of tame to tame and get used to you (ours did) because they're not used to being handled. The main thing is - always be gentle when talking or handling - then he will learn to trust you and know you don't mean him any harm.
That is horrible that the pet shop owner picked the hammy up by his leg. It's probably things like this that have made yours a little bit nervous at first but he will soon feel reassured by his new owner
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It can be frustrating - our little boy just wanted to hold Charlie straight away and we had to wait a few days for him to settle in. Usually they are fine out of the cage, but will be defensive inside their cage. We used the inside tube from a kitchen roll to get him out. After a few days when he's been taking treats from you through the bars, try putting a tube like that in the cage sort of horizontal with you holding the far end. They will usually walk into the tube as they like tubes. If he doesn't you could try putting a treat at the far end which will tempt him to go in! Then gently lift the tube out with your hand over both ends so he can't jump or fall out and carry it over to somewhere soft like a sofa or a bed where he can't fall too far or run away. And make sure he can't run off the end of the sofa. If you have a hamster ball you could have that on the sofa and he might jump into it so then you can pop the lid on and let him run around for a bit. If he's not tame though he might just try and run away or leap 2 feet in the air every time you touch him, so it's really important to make sure he has a soft landing if this happens.
I put a blanket along the edge of the sofa to try and block him and some cushions on the floor below in case he jumped off.
But if he is like this, the best thing is to just get him out in a tube and put the other end into a hamster ball, let him walk into that, pop the lid on and carry him up to the bathroom and let him out in the dry bath with the plug in. Just gently put the ball down in the bath and take the top off and let him run around. (ours used to run up the sides of the bath and keep sliding down again!). We had to do this a couple of times a week until we could start to touch him or stroke him without him leaping in the air (they're just scared). Once we could stroke him it was easy to pick him up after that. We would cup him underneath with one hand (while in the bath) and lift him just a couple of centimetres and let him walk off the hand again - a few times. Then we could actually lift him up after that and he was lovely and tame because he'd got used to being handled and got used to our smell and felt safe.
The only reason they get aggressive is because they are scared.
Hope he settles in soon. For now just make sure he has food and fresh water each day and check his bottle is working ok each day at first. They love fresh veg as well so you could maybe pop a small piece of carrot or broccoli on top of his hamster food (just a very small bit about 1cm square size).
There's loads of useful info about hamsters and how to care for them on here - it helps to know what to expect and what to do.
http://www.rspca.org.uk/adviceandwel...dents/hamsters
I also got this book which was helpful, but most of what's in it will be on that website under the various different links.
http://www.amazon.co.uk/Care-Your-Ha...s=Hamster+book