For most hedgies, the wheel IS the potty. Given he's going especially in his wheel, I'd say the "potty training" is mostly complete
Some hedgies will use a litter box. What you can do is get a small litter box, fill it with something other than what's in the rest of hedgie's cage. When you find a poop outside the litter box, move it into the litter box. When you're holding him and he starts to make "the stance" indicating he's about to pee or his little tail pops up indicating he's about to poop, you can move him over to his litter box and have him finish up in there.
None of that is guaranteed to work. But I'd say it's worth a shot. Just don't get frustrated with him if he doesn't understand.