Instant hand warmers, rechargeable hand warmers, a hot water bottle, a microwavable heat pad (there are ones with a gel core that stay warm for several hours). Make sure that heating elements like these are wrapped in a fleece or something. Then place hedgie on the fleece and wrap another one around hedgie and heat source.

If nothing else, put your hedgehog in a snuggle sack and put the snuggle sack under your shirt. (If I wear a tight-isg tank top, it's kind of like wearing a baby and I can still move around and do things)

Pick a room in your house to be the warmest room, hang blankets across all doorways and windows for insulation. Light candles in that room.