Summarize:

Although your hedgehog may get himself dirty quite often, you should not bath them more than once a month as this may dry out his skin. If you are concerned about dry skin, you can talk to your vet. There various treatments for dry skin that you can use after a bath to help prevent any problems. These include the use of olive oil or flaxseed oil applied topically, or a few drops added to food. If you add oil to the bath, mix it in with the water and pour over your hedgehog's back as would in a normal bath. If your hedgehog often has dirty feet, you may feel like you need to clean these more often. A hedgehog will often get dirty feet from walking around in the mess in his house, and it's important to take care of this. To avoid a full bath every week, you can try a more straightforward foot bath. For this you will just need to fill your sink with half an inch of warm water.  Place your hedgehog in there and help him clean his feet. Be sure to dry his feet thoroughly with a soft towel when you are done.  Keeping his house clean and replacing bedding frequently will help him to stay clean. A quicker alternative to a full bath is a towel bath. For this you will fill the sink with a few inches of warm water and place a towel in the water, on the bottom of the sink. You will then place the hedgehog on the towel and use this to gently scrub his back, legs, and belly. Again you should take care to avoid his face and ears  In a towel bath the water should not be higher than his legs. Dry him in a soft towel as you would following a normal bath.
Don't bathe him too often. Try a foot bath. Consider a towel bath.