I use liners and typically clean the cage out (taking everything out so I can spray the actual cage down) once a week or so with a water/vinegar solution and paper towels. I change the liners every 2-3 days.
I've never used wood bedding, I've always used cloth liners, so I'm afraid I can't help you with the best way to change the bedding. I did want to say, though, that I hope the pine you're using is kiln dried pine. Pine that is not kiln dried releases chemicals that can be toxic to a hedgehog and can cause many illnesses over time, just like cedar.
It's personal preference, but I would recommend switching to liners because males can get things caught in sensitive areas when it comes to wood beddings, and those tend to harbor mites more easily also. But the one you prefer is really up to you.
I dump the shavings in the garbage can and put the bin in the bathtub and put a few inches of hot soapy water. Anti-bacterial dish detergent works well. Let it soak for a few minutes, sponge out, rinse and then rinse again with a vinegar water solution.
Make sure hedgie is in an escape proof container while you are cleaning.