I'm not a breeder, so I wouldn't know how stressful it is for hedgies. But I would think shipping would be better than buying one from a shoddy petstore (and supporting unethical practices at a petstore).
I guess the other option is to drive a long distance to the breeder, if that option is available for the OP. Might still be stressful for the hedgie to be driven that far (especially if the poor lil guy gets carsick

)