A large plastic running wheel is important to keeping your hedgehog happy and healthy. But longevity is key; your hedgehog will be running on it EVERY night. Make sure that it can hold a full grown hedgehog and is not too small, go for the largest size wheel when purchasing because your hedgehog will grow into it. also make sure it can withstand the weight of a hedgehog, as many of mine fell apart after a few months of use. A homemade wheel is probably a better option.
The Number One Rule is, never buy a wire wheel! Hedgehogs break their tiny little legs if they run on a wire wheel! A vet bill for an exotic animal like a hedgehog is not easy on the wallet! So just avoid wire all together!!
This is the best exercise wheel I have found so far. It is a bit on the pricey side, but is extremely easy to clean because every piece easily comes apart for cleaning. The design is made so it does not hurt the hedgehogs spine while running, and this wheel is entirely silent. The base of the wheel is very study unlike the wheels I have purchased in the past, it easily holds the weight of a hedgehog and has a secure bolt system so the hedgehog cannot unscrew it while running.
These wheels are cost effective but difficult to clean, and fall apart after about a year of use. I would not recommend them because of their lack of longevity. Hedgehogs are small but are compact creatures, they are fairly heavy for these plastic wheels. The wire stand that the Kaytee wheels have bend from the constant weight of the hedgehogs. The top picture shows the cheaper of the two, but the plastic attachment in the middle of the wheel is not very secure and in the past I have had the plastic wheel fall off of the stand every night from my hedgehog running on it. The bottom picture shows the better Kaytee wheel, but even with this upgrade, it is still difficult to thoroughly clean, and the wire stand bows from hedgehog weight. It is much better to just spend the extra dollars on a higher quality wheel than having to keep replacing this one.
You can always make your own wheel! Things to consider when building it would be, cleaning ease, and noise level when the hedgehog runs on it. plastic or metal for the running portion keeps it from absorbing fecal matter and urine, and is easy to clean.
I personally have never used saucers with my hedgehogs. Unless a hedgehog has been raised using a saucer, it may not be a good change for them. The spine curvature is not healthy and they may not even understand how to run on them. My hedgehogs have been raised on upright wheels, so I do not recommend using saucers.