I usually give new pigs a day or two to get used to their new surroundings without a lot of holding and interaction. You can still hand-feed them while they're in the cage to help get them used to the idea of interacting with you.
When I picked up my pigs (from their previous owner), I took them home, put them in their new cage, and let them be for a day. The next day, I took them out for no longer than five minutes, then hand fed them veggies while they were in their cage. The next day I held them for about ten minutes while I fed them their veggies. My girls were extremely curious and not really shy at all, so they were pretty comfortable with me holding them while they ate. Granted, they still seemed very touchy and alert, but that is to be expected. So, I would say leave them for a day or two, depending on how shy they are, and then when they are a little more comfortable in their new home, pick them up for a little while, not too long at first, and then just increase the amount of time that you hold them each day.
I probably did this the unorthodox way, as soon as I got my piggy home I set up his cage and let him play in it for an hour and a half, then i took him out and hand fed him veggies and pellets and just held him and loved on him for an hour......It obviously worked because the next day or so later he was comfortable with me and in his cage.
I left my boys to settle in for 24 hours, and then slowly started getting them out for longer periods. I take each of them out for at least 30 minutes a day now, two of them love it and the other is a bit skittish and I've had them about 6 weeks.