Awwww....Lucy! I like that!! (Beats the heck out of Monty!)
Being extremely active can be a sign that they are feeling stressed. She may be looking for a place to hide, but not feeling secure enough anywhere to actually hunker down and...hide. I know it's hard to just let them be when they are so new and so treasured....but try to remember you've got years and years ahead of you to get to know her and enjoy her. So a couple weeks of letting her settle in...making sure her enclosure is as optimal an environment as possible...and making sure she is comfortable and eating steadily....it will be well worth the wait.