I'd suggest scheduling a vet appointment to have her checked for a skin infection. There's been a couple other people on here who have had a hedgehog be diagnosed with a fungal infection with no symptoms other than severe dry skin. If oil isn't helping & it's just getting worse, it's possible that could be the cause rather than just low humidity & dryness, especially with the quill loss.
However, I'd also suggest switching to a different shampoo. I've heard a lot about baby shampoo being rather drying, contrary to what you'd think.
~*~*~ Kelsey ~*~*~
RIP my sweet Lily ~ 6/12/08 - 1/20/12