I assume you are planning to do a C&C cage (if you have no idea what I am referring to, google it). Some people love them. Personally, I'm not a huge fun. If your hedgehog is less then 6 months (or just tiny), they may be able to slip through the grids. Hedgehogs can also climb really well, so you need a top and that can get difficult to support when the cage is on the larger side.
I'm also not a fan of liners. Some people love them, but I find them to be very messy. You need to change them daily (unless you have an older hedgehog that is really super about using the litter box. A young hedgehog is going to poop everywhere). The hedgehog also gets messy because it is walking through its own waste (because the waste sits on top and there are no shavings to cling to it).