Our hedgehogs reside in their own room in our home. They are kept on heavy duty metal racks. I use plastic totes (105qt from Wal-Mart and 106qt from Home Depot) for all of my hedgehogs. I personally think its the safest most sanitary cage they can be kept in. Totes provide plenty of room for them to play and run, without bars that they could potentially break their little legs on.
All hedgehogs are taken out and handled on a daily basis.

The room is heated with an electric heater set to 74-77 Degrees (In the winter we keep it set to 77-80 to maintain temperature). We use digital thermometers to keep track of temperature in the room and inside the totes.

Inside each tote I use pine shavings (kiln dried, low dust). Occasionally I use pine pellets, Carefresh or fleece liners. I make my own cage liners out of fleece and towels. They consist of a layer of fleece on top, towel in the middle and fleece on the bottom. Then they are sewn with hidden seams. 
I provide a 12" wheel or CSBW, a plastic hide and/or fleece sleep sack, ceramic dishes, PVC tunnel and various toys such as crinkle balls, rubber ducks, plastic balls, plastic eggs, mint sticks, little stuffies etc. 

My hedgehogs are provided with fleece wheel liners. Some breeders don't recommend liners for fear that they may snag a toenail, but I have personally had no issues with them. It  provides a comfortable surface for them to run. It's also a lot more sanitary in my opinion. When they void, it doesn't stick to the liner and fleece wicks the urine away from their feet. When the liners are soiled, I toss them into the washing machine and wipe down the wheel. Wheel liners can be purchased on Etsy.