Your hedgehog will need a cage, bedding, and a den. The enclosure is up to you, but beware hedgehogs are escape artists! Make sure whatever cage or enclosure you use, has openings too small to get through, or to get stuck in. Hedgehogs can squeeze through any opening just a fraction bigger than their skull, and they will. They can, and will, also climb -- anything, especially water bottles. Lids are not optional, especially with babies.
The cage should also be big enough -- 2' x 3' is pretty much a minimum for a hedgehog. If yours is smaller -- it's very temporary, at most.
A den can be anything from a big piece of plumbing tube to an empty tissue box with a door cut in one end.
Hedgehogs need to be warm -- warmer than you keep your house. Try keeping a heating pad on its lowest setting, under part of the enclosure (so the hedgie can get away from the heat if it gets too warm).
Wood shavings generally making for a more comfortable place to root and burrow around in, many hedgehogs are not overly particular as to where they defecate. Using shavings makes cleaning up after them quite a bit easier.
For bedding, aspen chips work well -- avoid cedar!
There have been cases where hedgehogs were allergic to wood shaving bedding. The hedgehog experienced what appears to be a bloody nose most nights while roaming about its enclosure. The solution was to use a more natural bedding (closer to their natural habitat -- for example, real dirt and grass).
There are numerous warnings against using cedar shavings, especially for baby or young hedgehogs because the strong aroma can actually overpower and even kill them. It now appears that pine, also being an aromatic softwood, can cause many of the same effects as cedar. While generally not as strong as cedar, it is better to opt for aspen or other non aromatic woods. The rule of thumb for any bedding material is, if it has a noticeable scent, it probably isn't terribly safe.
Aspen is, unfortunately, more expensive than either cedar or pine, but the safety factor is paramount. If you are unable to find aspen, and are using pine, make sure you do so in a well ventilated cage or pen, not one that is enclosed with limited airflow, as this will help limit the dangers.
One of the benefits of aspen shavings is that they are digestible. This can prevent problems resulting from eating the bedding.
Another side effect of wood is that shavings of most kinds involve quite a bit of dust which can have unpleasant side effects on small lungs. Aspen, which appears to be shredded rather than chipped, seems to be less dusty and much better than pine or cedar.
For those of you who want an alternative to wood shavings of any kind, especially for those who might have allergies themselves to the bedding, use terrarium lining or astroturf. It's much cheaper in the long run. Buy two lengths and wash them about every 3 days. While one is drying, put the second one in.
Although most bedding for pets is treated to prevent mites, bedding is still one of the major sources of these little pests. If you have mite problems, it is probably worthwhile to switch to at least a different brand of bedding, if not a different type -- at least for a while.
When it comes to the litter box, the primary concern is that you do NOT use a clumping type litter. Clumping litter can stick to your hedgehog, forming a cement-like layer, which can quickly prevent urination.
Almost any brand of non clumping cat litter is relatively safe. A clay based litter may be preferable, as most hedgehogs like to dig in it, as they would in soft soil or sand. It is possible, however, for even non clumping litter to become caked on, so you should check your hedgehog frequently.
Male hedgehogs can also get pieces of almost any kind of litter and bedding (especially clay and corncob) caught in their penile sheath. You should check hedgehogs of both sexes daily (or nightly, as the case may be) to ensure there aren't any problems.
As with bedding, there is a need that the litter you use not be too dusty.
Corncob litter is not recommended as bedding for hedgehogs. The danger of it getting caught in delicate places still exists, though not as likely as clumping cat litters. There have also been many cases of mites that pointed back to the use of corncob bedding as the source. Corncob also tends to become moldy when it gets damp, as well as just rotting and causing odor.
Shredded office paper can also be used as bedding, although make sure it doesn't contain any metal (such as staples or paperclips) or odd chemical impregnated or carbon paper. It can, however, be quite dusty.
It is best to provide a rough surface like a flat rock, some sandpaper, or a clay flowerpot to dig in to help your pet wear his toenails down naturally.
Despite appearing to have almost nothing in the leg department, hedgehog legs are actually quite long and these animals like to run and explore. Probably the best toy for most hedgehogs is a hedgehog wheel. A wheel provides opportunity for plenty of important exercise. Although there are problems associated with using improper wheels, the positive effects of having and using a wheel are enough to make one a necessity (unless your hedgie has free run of an entire room).
An exercise wheel may also help prevent Fatty Liver Disease which is found more frequently in hedgehogs who don't get enough exercise.
In choosing a wheel for your hedgehog, keep these points in mind:
(1) It is necessary that the wheel have a solid surface. A hedgehog wheel should not just have a set of wires running across it as on most wheels for hamsters, gerbils, etc. Without a solid surface, your hedgehog will get his legs caught in the wheel, and/or develop sores, or worse problems. There are a number of ways to adapt wire wheels, so that they have smooth surfaces, from liners to duct tape, just use your imagination. Having a solid wheel, however, also leads to problems.
(2) Hedgehogs tend to leave their droppings all over their wheels.
The wheel eventually gets pretty icky. Unfortunately, hedgehog feces sticks to wood fairly
well. A heavy coat of enamel paint makes the wheel easier to clean.
(3) Pad any spokes on your wheel. Hedgehogs have a tendency to suddenly look around to
the sides and behind while they are running -- to see how far they've gone. This almost
always results in the animal getting hit in the face with a spoke from the wheel.
Aside from wheels, another toy that is recommended is an empty toilet paper tube. Many hedgehogs will pick this up and carry it or push it around. Make a cut through from end to end, and bevel the corners of the cut to make sure your clumsy little friend doesn't get stuck and/or hurt.
Another favorite toy for hedgehogs is a sandbox or section of grassy sod. Live mealworms often burrow in the clumps of grass and hedgies will root for them. These sod clumps should be fairly dry like the wild hedgie environment. [Note: There is some chance this might allow parasites to be brought into the house.]
A playpen made from a child's plastic wading pool, with some shavings in the bottom, and toys scattered around in it makes a great place to explore and to let various hedgehogs meet on neutral ground. Just beware not to use the wading pools with the built-in slides. Hedgehogs will use these as escape ramps.
Be sure to supervise the activity, in case your little friend gets into trouble or escapes.
Keep in mind hedgehogs like to climb, even on something as low as a hollow log turned upside down. Be careful that your hedgehog isn't likely to fall and hurt itself. Wire frame climbing levels, available on some cages for small animals, are better off covered to make a solid surface.
A free roaming hedgehog will climb anything it can get its claws hooked into. African Pygmy hedgehogs in particular are notorious climbers, and escape artists. They are also not afraid of jumping off household cliffs (counters and tables) by simply rolling into a ball and leaning forward, using the quills as springs for landing. That means your hedgehog needs run of the floor, and if you have stairs, you will either have to block them or keep him on the lowest floor.
Hedgehogs will get under anything they can. This includes any piece of furniture that has any more than about a 1'' gap between it and the floor. The problem here isn't so much the hedgehog getting under there, but that there may be dust or other things accumulated there that are not good for your hedgehog.
The best guide is to get down to the hedgehog's level and try to imagine any place your frisky little friend might try to get into.
Make sure your hedgehog has a warm place that's easily accessible for a den, as well as access to water and food.