As for shampoo, you could use either an oatmeal shampoo or a really moisturising universal shampoo. I use the brand Biogance. They've got a big range of shampoos for dogs and cats. Their Universal shampoo is great for hedgehogs as it is super moisturising and even makes their quills smoother and more supple. I haven't tried oatmeal shampoos as they don't really have it here in Malaysia but you could try searching it up.
For bedding, I've tried em all. I've tried paper, wood, fleece blankets. Personally, recycled newspaper bedding is the best. The brand I'm using is Green Kat. Low dust and excellent absorbency. I've also come across extremely dusty paper beddings such as Pets Dream. Unless you have the same brand where you are, it might take a little trial and error before you get it right. As for wood bedding, Cats Best Universal is great.