Litter boxes are best placed under or near the hedgehog's wheel. Most hedgehogs will pee and poop on their wheel as they run, and this is not something that can be prevented. Wheels will need to be cleaned daily – this is a fact of hedgehog ownership. Shortcuts (such as placing something on the wheel) should NOT be used as these can easily trip and injure the hedgehog. A good quality wheel is easy to clean if it is done in the morning before it dries completely or if you leave it to soak for a few minutes. If you don't have a sink or tub where you can leave a dirty wheel to soak, you can still let the wheel soak by spraying 50/50 vinegar/water onto it & tilting it up so the dirty solution doesn't run off the wheel.
The first rule to remember when training a hedgehog to do anything is that they are highly trainable if they want to be. This is hardly surprising considering the intelligence and complex range of emotions and personalities that are displayed in these creatures. In other words, if they want to be trained to use a litter box, they will use it, but no amount of training will convince some of the less than "civilized" hedgehogs out there!
Just because your pet refuses to use a box at first doesn't necessarily mean that they fit into this category, however. Some hedgehogs catch on rather quickly, while others take more time. So, remember to always be patient. There just are not any hard and fast rules when it comes to hedgehog training.
The main key to training is to move any poop that is outside of the litter box into the litter box so the hedgehog notices where the waste is. Sometimes this will encourage them to recognize the litter box as where they should eliminate, and they'll react accordingly. Otherwise, there isn't any way to really train or force a hedgehog to use a litter box. If they use it, great! If they don't, you'll likely have to resign yourself to the fact and possibly clean the cage more often (particularly if you're using liners).