All hedgehogs know how to swim. Like some people, some hedgehogs like it more than others.
Bathing should be ‘as needed’, and not a terribly frequent occurance as it dries out their skin.
Lukewarm water should be used.
A plastic tub for the hedgehog is a great bathtub.
I use Aveeno Unscented baby gel, but any mild, preferably non, or lightly scented baby/kitten/puppy tearless shampoo is fine.
An old toothbrush makes a great quill scrub brush.
For a foot bath (much more commonly needed!) just add 1″-3″ of water to the plastic tub and let the hedgehog wander around in it. Change the water as needed.
For a full bath, fill the plastic tub with more water.
Let the hedgehog be in the water, and apply a bit of shampoo with the toothbrush to the quills.
A small washcloth for the face is preferred.
Be sure to rinse well, keeping any running water away from the hedgehogs face and ears.
When you are drying your hedgehog, be sure to keep him wrapped in a towel for at least 45 minutes in order to make sure all the water is dried out from his quills and he doesn’t catch a chill.