In the UK among many hedgehog breeders and keepers, it is advised against, although other countries do use it. Wood shavings are thought to cause respiratory problems in hedgehogs as they breathe in the dust that comes with it. It could also cut their leg, causing hog and owner unwanted stress.
Most of the wood shavings that are purchased for animal use is not cleaned, although some of it is. There is also the danger of the shavings containing mites; these would not be good for a hedgehog.
There are other alternatives which are suitable. These come in the shape of fleece bedding and liners, these can be made to order or easily made at home, just make sure there are no loose threads that could get wrapped around a hedgehog’s leg, cutting off the blood supply. This type of bedding/lining material is reusable, however, after washing the liners I tend to put my washer on a very hot wash with nothing in it to make sure the washer is clean prior to doing your own laundry as you don’t want to find quills in your socks. If that isn’t for you, you could purchase a bale of Finacard. Finacard is made purely for animal use and is dust extracted during production, it is also mite free, it is very long lasting and can cut down on odour as well as being disposable.