I've always tried to extremely minimize the exposure to hedgehogs when painting. I get very sick when I'm around fresh paint that contains VOCs. I get terrible migraines. Plus VOCs are not healthy.
If you can choose, look for a paint that is zero VOC. That strong fresh paint smell is the off gassing of VOC, with zero VOC paint the scent isn't that strong and it quickly goes away. To also help with the smell, a colleague of mine adds a small amount of vanilla to the paint. I've yet to try it, but she says it really does help.
When I'm painting, I move the hedgehogs to room as far away as I can get from the paint as possible. Close the door and keep the window open (not an option during winter) to allow them good fresh air. When we painted the hedgehogs' room we kept them out of that room for several days to allow any odors to dissipate. Keep in mind it was summer and the window to their room was open most of the time to thoroughly air it out.