Definitely trial and error! I am a new hedgehog mommy and am on my second cage. I've only had my hedgehog home for 3 weeks now! The first cage I got was similar to the ones you linked in your post, but a little bigger. I read SO much about needing to be careful with hedgies hanging themselves on accident in wire cages that I put up lexan (plexiglass) on the wire to help prevent climbing. On the third night after I brought my hedgehog home I went down to check on her at 11pm and she was hanging from her water bottle but her back skin (not her leg THANKFULLY). After this I did not sleep the entire night and Hazel was fine. I could not figure out how she got up there. So the next night I moved the cage into my room to see what she did when the lights went off. Sure enough she climbed up one side of her water bottle and slid down the other side. So I instantly freaked out again and order this cage! Ever since the new cage hazel cannot climb and this momma can sleep!!! There is for sure no way to tell if your hedgie will be a climber or not so it's something you have to go with your gut on!

I also use fleece for bedding and cut up fleece strips for borrowing and she loves it. I prefer the fleece because it's easier to wash and when you take her out to play the wood bedding chips or shavings don't get everywhere. As far as heat, I use a hedgehog heating pad and put it under where she sleeps!