The issue is that you want the oil to be on their skin, so your best chance at applying it properly is when the skills are upright which is when the hedgehog is balled up. You'll have a hard time properly applying it to their skin if their quills are laying flat, even if you comb it through.
Even the tamest of hedgehogs will ball up; it's just normal behaviour. Whenever I want to apply oil to Coco's skin, I purposely take her out when shes trying to sleep - get her at her most grumpiest time, and so she'll be more likely to stay balled up.
It's not encouraging 'bad' behaviour. Balling up is just what hedgehogs do. You dont even have to initiate the behaviour yourself; get them at a grumpy time, and they'll do it all themselves.