What you'll need:
Fleece-about 4 12"x12" squares, at most. (depending on the size you want, of course)
Sewing machine (just to make your life easier)
Step 1: Cut material
You will need to cut 4 pieces of fleece; two of each color/pattern.
For this instructable I cut mine into 10x12" rectangles, but any size should work.
Step 2: Sew the edges
Step 3: Put them together
(In other words, the bag on the outside will be inside out, and the bag on the inside will be rightside out)
Step 4: Sew em' up
Step 5: Finishing up
Turn the fabric rightside out through the hole.
Push one bag inside the other.
Sew all the way around the edge of the bag to close up the hole that was left for turning. You may not be able to go over the corners because of bulkiness. This is ok, just make sure to back-stitch those spots. This is also the only place on the bag that thread will be exposed :)
This bag is reversible, so you can use whichever side you want. It is also washable, so any accidents your hedgie may have won't be a problem.
Then just let your little guy enjoy!