I use a Noma oil filled heater in our hedgehog room. The rest of our house is kept fairly cool, so its the most efficient way to keep them warm. I keep the whole room warm instead of just the cage so that they're play area is warm as well
I am trying to decide what to use. I have an electric baseboard heater behind the cage on the floor and I purchased a ceramic space heater to go with it. I find the space heater a little noisy and I think I will return it to pick up an oil filled heater.
I use a ESU/Zilla 1000 watt temperature controller, A Zoo-Med 150 watt ceramic heat emitter, and a Hagen porcelain base medium size wire clamp fixture. I purchased it all from reptile supply. http://www.reptilesupply.com/index.php I keep the house 73-74 during the winter so the heating system is just a buffer to keep my hedgie a little warmer than house temp. I have a Marchioro "Tommy 120" cage and have 2 sides covered in fleece mostly because it looks better. But it does add a insulating barrier as well. I also keep a fleece blanket folded covering the top of the cage to keep some heat inside. The heat emitter is inside the cage in a top corner. My hedgie doesn't climb so it is safely out of her reach.