Hedgehogs often do find their way into garages, sheds, etc. but it may not be the hedgehog who initially made the hole.
They are not actually an endangered species, as such, but their numbers have been declining in this country, so they need all the help they can get. Probably the most important thing is to leave fresh water always accessible for them. I use those big plant saucers. Hedgehogs are inclined to walk through the water and the bigger saucers are less likely to be tipped over. You can also put out some food for them. There are various hedgehog foods on the market these days, some in pet shops, but probably many more on line or by mail order – or you can use cat or dog food and cat/kitten biscuits. The old thing about bread and milk is a myth and bread and milk are actually bad for them – they are lactose intolerant.
Another really useful thing for them is to make sure that they can access other gardens around. They need several gardens to survive. If you can, encourage your neighbours to make holes under the fences, about the size of a cd case, it would be useful for them. You can also make your own garden more wildlife friendly. Encourage, insects, beetles, etc. by making bug hotels, etc. Ponds are always good, but make sure that hedgehogs or any other creature can get out. If you get really keen, you could even venture into the realms of hog houses. You can buy them or there are instructions of how to make them on this site.
If you don’t mind the hog using your garage, it is probably best to leave it be. If it is a female who already has hoglets, they should not be disturbed. Female hedgehogs have been known to eat their babies if they are disturbed when they are very tiny. It is still quite early for hoglets, but is possible.
Another thing, which is particularly in my mind at the moment, is to be aware of how dangerous strimmers and other garden machinery can be to hedgehogs. I have just had to take a poor hedgehog who arrived in my garden injured, to the vets, where he has probably been put down as his injuries were so severe. Make sure if you are strimming/mowing any long grass, or anywhere where a hedgehog could be that there isn’t one there. Their natural defence is to roll up and so it is very likely that they would not run away. So there is much which can be done making people aware of these sorts of things.
Other than that, just let him/her/them get on with enjoying their hoggy wild lives. It can be a delight having these endearing wild animals sharing your garden. They are really no trouble and can provide endless entertainment.