Like all animals, hedgehogs have an excellent sense of smell. Keeping ferrets in a different room and keeping a closed door between them will make a difference in how threatened a hedgehog feels. There will be mixed opinions on handling a hedgehog while you wear the same clothes as when you held the ferret. Personally, I'd change off between the two, but I do that between any species just to avoid transmitting anything infectious or contagious. Even though my chins and hedgehogs are both prey, I change clothes because I don't want anything spread.
There are those who think the hedgehog acclimates. I'm not sure they do. I think they mask it well but I think the constant low level of stress can contribute to illness and poor health.
Just my .02USD