I got most of the materials from Home Depot save for the ball bearings and rollerblade wheel which I got from PlayItAgain Sports, but you can probably find some of these materials lying around.
*1 Bucket big enough for a Hedgehog to run in(I got my 5qt Wide Mouth Bucket
from Home Depot,
but you can use any bucket big enough for your hedgie to run on!)
1 length of the smaller diameter PVC Pipe(the diameter isn't too important; just not too thick, not too thin)
2 PVC Elbow Joints
3 PVC End Caps
1 PVC Three way joint
1 Roller Blade Wheel with exposed holes around the bearing whole.
1 Roller Blade/Skateboard Ball Bearing
1 Carriage Bolt; See Detailed Picture(I forgot the measurements of it, so take your Ball Bearing to your local hardware store and find a Carriage Bolt that fits snug, and isn't too short.) IMPORTANT!: Make sure that the nuts and bolt you got don't impede the spinning capabilities of the Ball Bearing, and have them only secured onto the inner metal ring.
4 Mini Zip Ties
Optional, but Recommended:
Dremmel Tool, but if you have your own way of cutting PVC and making precise holes in the bucket, go for it.
*: If you don't have a hedgehog, you can use one of those mesh wheels for rats, and the plastic ones for hamsters and mice.