Next to fresh food and water, the most important thing you can put in the cage will be the wheel. They must have one with a solid bottem, so they don't hurt their little legs. If all you have is a regular wheel, you can take a stiff material (such as cardboard, which can be thrown out when it's dirty), and weave it around the bars.
Some sources recommend using heating pads, but I have never found it necessary. A healthy hedgie will do fine in room temperature, so long as there are no drafts on them. Keep a check on their bellies, if they are cold in the mornings, then you may need to move them to a warmer spot.
I use shavings for bedding. I get them from the local Co-op store, or B&R Pet Supplies in Windsor Junction. Most likely your hog will mainly use the bathroom at night, as they are nocturnal, so if you clean them in the morning you will have a clean, odor-free pen all day. NEVER USE CEDAR SHAVINGS!!
Each hedgehog likes different toys. Just offer them different things to find out which is their favorite. Some things mine like are toilet paper tubes, empty kleenex boxes, and pieces of cloth (so long as they don't fray at the edges). They may also like tubes to crawl through, and shredded paper to make their beds.