To tell you the truth, it depends on the hedgie. I'd say that most don't like swimming but this is just based off the information I've seen. I'd recommend starting off putting your hedgie in a sink with steep sides, and only 1/2 inch (1 centimeter) of water at the bottom. If your hedgie starts scraping at the sides, then she probably doesn't enjoy swimming. In that case I'd save it for baths only. If she does like it, GREAT!
Some things to keep in mind when giving baths or playtime in the sink-
-turn the spout off. Some hedgies like to go toward the water and like for the water to fun down their face. This is not good for them as it can cause ear infections along with multiple other problems.
-use pet friendly soap if you are givving them a bath
-try to wrap her/him up in a towel as soon as they get out. They will get cold very fast id not dried immediately
-You will need to change out the watter multiple times. Since you can't simply use the spout to replace the dirty water with clean water, I'd recomend keeping a few bottles of water at hand to start with.
Hope this helps!