It sounds like a stressed-out lizard to me, which is perfectly natural after just 3 short weeks (although I'm sure they've seemed long while you are worrying!).
Yes, give a hiding spot or three. Preferably one on the cool side, one up nice and high where iguanas feel most secure. Try placing food in the hide, iguanas feel at their most vulnerable when they are eating and drinking.
Like Marisa said, it can be challenging to create a "full" hide for igs, but fortunately they often feel hidden when clinging to a nice sturdy silk or plastic plant. Make sure it's very sturdy before you buy it, though. Tug like crazy on stems and leaves to make sure they won't come apart.
What kind of food are you offering? Is it finely chopped into smaller than bite-sized pieces so he can steal a quick mouthful when he thinks nobody is looking? Make sure you are giving nutrient-rich greens. It's especially vital while he isn't eating very much, and give a little sprinkle of calcium powder, without D3. If he's low on calcium he's going to have problems digesting his food and growing healthy bone tissue. And I can't stress UVB lighting enough. All the calcium in the world isn't going to do him any good if he cannot process it due to a lack of proper lighting.
What is his cage like? Is it nice and tall so that he can get up good and high? Or is it a standard aquarium tank? Those aren't at all suited to the needs of a tree-climbing lizard, they cannot get far enough above the ground to feel safe. If that is what you have, try putting the whole shebang up nice and high so that he at least feels like he isn't stuck on the ground.
Good luck and let us know how the taming process goes. Believe me, it's worth the effort to get an iguana that trusts you.
The Zombie Mama is here!