Hello & welcome to the forum.
Could you tell us a bit more about your ham, which species is s/he? And what kind of set up you have for your ham, a photo would be helpful if you have one then we may be able to make suggestions to help.
Does your ham have a house to sleep in? A large enough house with deep bedding underneath is important so they have a safe dark place to nest.
It may be that your ham is putting the substate in the wheel as there isn’t anywhere it feels safe to sleep or it may just be part of the exploring & making changes to a new environment, they do strange things sometimes! Sleeping behind or under the wheel isn’t unusual.
Sometimes very young hams do just fall asleep in odd places too after running around a lot.
How long have you had your ham? It can take them a while, up to a couple of weeks to settle in & it’s important not to disturb things during this time so only make changes to the cage if really necessary & just do minimal spot cleaning so you don’t remove their scent or upset them.
When you say sawdust do you mean wood shavings?
Not all wood shavings are safe for hamsters & they do better with a paper based substrate like Kaytee clean and cosy.
Elusive has said it all really. I'll just add that it does take them about two weeks to fully settle into a new cage and decide where they are going to nest, and scent mark the cage and find their way around. Also the first two or three days it's better to leave them alone to work out what's what - unless they show signs of wanting to come out of the cage. This is a bit tricky if they block the wheel up and it won't spin! But I would still leave it two or three days before adjusting anything 
