Many people use a hair dryer and although I have never tried it, it would totally depend on the individual hedgehog how receptive they would be to it. I've had a few that probably would have been okay with it.
What I do is either put the heating pad on low under their cage for a few hours after bath, or I give them a mitten warmer. Right after bath I use numerous dry towels or usually receiving blankets to try and get them as dry as possible before they go back to their cage. Upping the cage temp a degree or two F is also a good idea.
I also pick a good evening for a bath. If a storm or drop in temperature is predicted, or it's bitter cold or windy, I don't bath. Those are the times that is more risky for the power to go out.