Hedgehogs do not have scent glands like ferrets, and as long as their cage or pen is kept reasonably clean there is generally very little odor. Most hedgehogs can be trained to use a litter box, making the task of keeping the cage clean that much easier. Even those that don't adapt to using a litter box will often use one area of their cage or pen for this which assists in cleaning.
What you feed them can affect whether or not their droppings smell. Generally the more “wet” food you feed a hedgehog, the more its droppings, and environment will smell, although brands and types of food can have as great effect as moisture content.
Younger hedgehogs and pregnant/nursing females tend to have much stronger scented urine and droppings. If your hedgie is still in his or her teens, be patient and clean the cage often.
While care must be given to prevent drowning, especially where babies and young animals are concerned, some adults may actually enjoy swimming in a pan or tub of shallow water (preferably on a warm day).
If you need bathe your hedgehog, towel dry him/her, then make sure the animal is put in a warm, dry place with no draughts. The bath water should be shallow enough for the hedgehog to stand in and keep his nose safely above the surface. The water should be at room temperature, not warm or cool.
One good thing about hedgehogs in water is that rather than quilling up, they generally put their quills down smooth, and the majority who dislike baths concentrate on trying to get out. It's probably best to gently lower the pet into the water and slip your hand out from underneath.
If you really must use shampoo, make sure it is formulated for pets, preferably for puppies or kittens, to ensure it is mild and safe. Don't get shampoo into the animal's ears or eyes. An old toothbrush works well to clean the quills. Rinse the hedgehog thoroughly, and dry completely and ensure he stays warm enough.
Do NOT use a hairdryer -- this will severely stress your hedgie.
It is occasionally necessary to clean the hedgehog's ears. Use a Q-tip moistened with mineral oil.
Hedgehog nails can get quite long and may need to be clipped. The crescent-shaped nail clippers that are used for dogs and cats work well. It's a good idea to keep some cornstarch nearby to stop the bleeding of nails which have been clipped too short.