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General Info
Wheels should be at least 11 inches in diameter. Anything else is too small for an adult hedgie, and will make them arch their back while trying to run which causes problems.
Some people say to line the wheel with sandpaper so that nails will be filed down while running, which means the nails can be cut less often. This should NOT be done. Hedgies run and walk on the pads of their feet which means that their nails don't even touch the wheel. If you line the wheel with sandpaper you will just be destroying your hedgie's foot pads. Please do not do this.
Comfort wheels (and silent spinners if you choose to use one of those, although I don't recommend it) will probably need to be secured to the cage to keep the hedgie from knocking them over. This goes for any kind of wheel with piece of metal just bent into a stand, also (see pics of comfort wheel/silent spinner to see what I mean). The easiest way to do this is to use a ziptie, and to put it around the bars of the cage if you have a metal bar cage or to drill two small holes in the plastic behind where you want it placed if you're using a sterlite container.
You should keep in mind that some hedgies may not want to use their wheel--and may never use it. Even if all your hedgie does is sleep under it occasionally, you should still leave the wheel in there so the hedgie has the option of running or not. Sometimes it takes them a little time to figure out what it's for; sometimes they choose to ignore it their whole lives. Many don't like being watched while they wheel, either, so put it in there and give some privacy. The best thing to do is just leave it in there and hope that you wake up one day to a poopy wheel.
Good Choices
Comfort wheel: These are sometimes a bit squeaky, which can be a bit bothersome if you're a light
sleeper; however, if you have to buy a store-bought wheel this a good way to go. You can take a scrunchie and wrap it around the back of the wheel to help with the squeak *between the wheel and the piece it's rattling against). Be sure to buy the "Giant" size, which is 12" because anything else will be too small for an adult hedgie. They should be attached to the cage or they might tip over.
Bucket wheel: These are usually custom made, and are generally the best option for a hedgie wheel. You can make your own or you can buy them from someone who is selling them. They run about $30, and this covers the cost of materials and time to make them.
(These are the directions I used, there are some others floating around out there if you google them. They ARE silent but you have to be very careful putting them together to get it right, and use a thick enough bucket. I had to stop using mine because it got too wobbly when he got a little bigger.)
Flying Saucer: They sell these at petco for about $25, but I bought one online for less than that including shipping. (This is the site I bought it from. I ordered it on December 31, and received it January 2, after mail didn't actually run for New Years -- fast shipping, for sure). You need the "Large" size, made for chinchillas and ferrets. Quentin runs and runs on this wheel. The only problem with it is that sometimes he gets a little too excited and over-runs (he had a bucket wheel before so he's used to being able to run like that), and it's made him roll off the wheel a time or two (he landed in fleece at the bottom each time, so he wasn't hurt doing so or anything). Now that he's finally gotten the hang of it, he runs and runs like a maniac. He really seems to enjoy it. It's also a really easy wheel to clean. It comes off the base easily, and there are no parts attached to the actual wheel so you can soak it without any worries. Bigger hedgehogs sometimes have problems running on these, so if your hedgie is 500+kg he/she might have problems running on it.
Choices to Avoid
Silent Spinners -- these have slits in the wheel that make them unsafe for hedgie feet. Some people cover the slits with tape or glue, but with the rounded shape that means urine/poop can't drain out so the hedgehog is running through a mess. The nut on the back can also become unscrewed, allowing the wheel to fall off/into the cage. It is not a very safe wheel.
Run-A-Round wheels -- Most of these are mesh or wire stripped surfaces, either of which can cause a broken leg or foot injury. Avoid ANY wheels that are not solid surfaces.
Wodent Wheels -- These wheels are made for rodents, and that means there are a few reasons why they're inappropriate for hedgehogs: the holes are too small for bigger hedgehogs to be able to fit into; the closed design means any urine/feces has to stay in the wheel while the hedgehog is running; the holes make injury easy because hedgehogs often jump off a wheel while running; and cleaning is an issue as you have to take the wheel completely apart every day to clean it. This wheel is completely inappropriate for a hedgehog.
Cleaning
Wheels can get very messy after a night of running. The wheel below is the original comfort wheel I had (now I have a flying saucer wheel) after one night of running.
How do you quickly and easily clean a wheel? There are several ways of doing so. Some people like to soak them in warm water in the sink, then scrub them with soap afterward. Some people take them outside and spray them with the garden hose. Do whatever works for you.
To kill the bacteria on the wheel, use antibacterial soap when washing. To prevent more from forming, spray the wheel with a vinegar/water solution after washing.
I put soap on the surface of the wheel and leave it for a few minutes, then add water and let it soak for a little while before rinsing it clean. After that I use a 50/50 mix of water and vinegar into a spray bottle and spray down the wheel, then take a paper towel and wipe it clean. Then I use another paper towel to thoroughly dry it. The vinegar is hedgie safe and kills most bacteria. (I got the vinegar tip from the Hedgehog Central boards.)
Remember, wheels should be cleaned daily!
Re-Introducing a wheel
If for any reason you have had to remove the wheel from your hedgie's cage for any period of time (for example, a foot injury or sickness), you need to reintroduce it back gradually. Put it into the cage for an hour a day for a few days, then for an hour twice a day, etc. Don't leave it overnight for a couple of weeks, until your hedgie is feeling better and is used to the wheel again. Otherwise, it might run itself to death by becoming too exhausted.
Some people believe in this happening, some people don't. Better to err on the side of caution.