A chilled hedgehog will walk as if it is drunk. A variety of methods can be used to warm them. The one that I use is to put the animal in the cut off sleeve of a sweatshirt. They usually warm up in about an hour or so. When I put the animal back in its own cage, I make sure I give it a sleeve to keep warm in.
Some animals are more prone to chills than others.
In general, the likelihood of hibernation happening is quite low, so if your hedgehog isn't making its home in the refrigerator, and you don't like living in subarctic conditions indoors, you probably shouldn't worry. Recently, another cause of hibernation, or more commonly, partial hibernation has shown up. It appears that hedgehogs are quite sensitive to the short daylight hours, or even low light, as can happen during the winter months. I've seen this help with my own hedgehogs, and my thanks to both Dawn Wrobel and Sharon Massena for bringing it to my attention. In some cases, you may need to be very diligent to ensure your little friend doesn't drift off into a one-way winter's nap on you.