Dying a hedgehog is never okay. The dye could easily be dangerous and toxic for the hedgehog, as they are sensitive little animals. The process could also be traumatic for the hedgehog. Simply put, it's just cruel. Plus, why would you want to change their natural coloring? If you don't want an albino, then keep searching for a different (natural color).
Dying an animal for aesthetic purposes is just crazy, in my opinion. You see the same thing with hermit crabs who have painted shells...they eat the dye/paint and often get very sick and pass away. Its dangerous and not how the animal/crustacean was created.