The proper way to bathe a pet hedgehog is to use a shallow dish filled with warm water (not too hot or too cold). Gently place the hedgehog in the water and let them walk around and explore. You can also use a mild, unscented shampoo made for small animals if needed. Be sure to rinse thoroughly and dry the hedgehog off with a towel afterwards to prevent them from getting too cold. It's important to not bathe them too frequently, as it can dry out their skin.