I recently switched my Hedgie's to fleece, and it is working great for me. I have used Baby Blankets (not minky though, their nails can get stuck) for their cage. it has been awesome, and a lot easier to clean. it is also a lot less messy! hedgehog do not need that much comfort, and with baby blankets, its already kinda thick. just remember to give them cozy fleece things to snuggle in, as otherwise they may get cold.
I clean their cage every week or so, and then shake out the dirty sheets in the trash. I would wash them on a heavy-duty setting on your washer, and do not use any laundry detergent, as the scents may be harmful. I usually toss in a cup or so of regular vinegar. it is a natural disinfector, and almost all of it will wash out anyways.
Hope That helps!