Your hedgehog should be kept at a temperature of 75 to 78*F. Although many hedgehog enthusiasts recommend a temperature as low as 72, I feel that 72 is too low as it can easily dip down lower, endangering your hedgehog. On the other hand, having your hedgehog's cage go over 80 degrees is also not safe.
Heat lamps and CHE bulbs are often used for heating hedgehog cages. A ceramic heat emitter (CHE) is a bulb that does not let off any light is best. Hedgehogs do need darkness at night and even the red or black bulbs made for reptiles can disturb their waking/sleeping patterns.
Hedgehogs need 12 hours of light during the day. Natural light is best, but keeping a lamp on for those few extra hours in the winter evenings is a good idea.
Keeping a thermometer in the cage or using a thermostat/rheostat will help you regulate the temperature. These devices work great with heat lamps.
Another option available for heating are pet safe heat pads. Unfortunately heat pads can easily get too hot, and they tend to only heat the bottom or side of the cage where the heat pad is placed, and not the air of the cage, which is not ideal for a pet hedgehog. They also tend to add moisture, which is not safe. Upper respiratory infections can develop from too much moisture in the cage, requiring antibiotics for treatment.
Space heaters are another safe and excellent way to keep your hedgehog warm. The heater should be used to heat the entire room that your hedgehog is in, and not kept right next to the cage, to avoid overheating. The downfall of this type of heating option is obviously the electric bill.
Whichever option you choose be sure to monitor any largely fluctuating temperatures to ensure your hedgehog is safe. When temperatures become too low for a pet hedgehog their body begins to shut down. First he may show signs by wobbling or shaking, then he rolls into a tight ball. It is possible to get him out of this balled-up state by slowly warming him up. Temperatures that are too hot can also cause sickness in the form of heat exhaustion or heat stroke. Splatting and a lot of drinking will be the first signs, followed by lethargy. Slowly cooling down your hedgie will hopefully resolve it (not too cold!). The best defense to either temperature extreme is to keep him at the proper temperature always.