So, it's very important for a hedgehog to take a bath. But in contrast to humans, hedgehogs don't use water - they use chinchilla SAND!
You should get a big enough sand bath and buy chinchilla sand in the pet store. If you're lucky, your hedgehog might even become house-trained. You can either get them one as a toilet and one as a 'shower' or a bigger one for both - they don't mind.
However, after a long night run on their running plate/wheel their feet can get a little sticky. When that happens you can get a small bowl, fill it with a little bit of warm water and use some organic hogwash, that's made precisely for this porpose. I can recommend the Hogwash by Hedgehogs and Friends - you can order it online.
Nevertheless, hedgehog baths don't replace the sand bath, which should always be inside the cage. That way your hedgehog always has the opportunity to clean itself. If you have any further questions about this, always feel free to contact me.