Problem with a 'proper' hedgehog is all the prickles. Short of modeling them all and increasing the polygon count by a SCARY amount, the best way I can tihnk of to do this would be to start with a 'bald' model, and use dynamic hair to create the spines. By amping up the stiffness (and possibly reducing the verts per hair to 1 or 2), and increasing the thickness appropriately, you should be able to get the look you're wanting.

JonTheCelt