Bathing is not usually necessary unless your hedgehog becomes very dirty.
Before you give your hedgehog a bath, you should remove any bedding from its quills with tweezers. Close the drain in a sink or tub and lay a towel in the bottom. You can either use a spray bottle or a cup with warm water to pour over the hedgehog, but avoid the eyes and nose.
Once wet, fill the sink with ½ inch of warm water. It is a good idea to add a few drops of olive oil to the water to help protect against mites. Use a wet toothbrush to gently clean the quills, underside and feet. Then rinse and dry the hedgie with a clean dry towel.
Wait until the hedgehog is dry before putting it back into the cage, or the bedding might be attracted to the wet hedgie.