Mine will sit in your hands if you have some food there, and they stay still for a bit, but they do mostly run around.
People refer to them as 'cuddly' compared to a roborovski, because you don't even get those cuddles with a robo.
Play pens are good, as is the food bribing thing.
I think with pairs you have to get them out together as well, in case one comes back smelling differently and they fight.