Q1. I would say that both of those cages look small. Thats just my opinion, but both of mine like a lot of space. What I've done is used plastic totes, with tubing between them. It is also much less expensive, and more modular. It is also very easy to transport them in their cage when I need to.
Q2. As I mentioned earlier, I have a multiple room habitat set up for my girls. In one room, I use a fleece bedding, and that is where I put there food and sleeping area. The other tote I use for an exercise room, which is also their bathroom space. It has a bedding of Aspen. Originally, I had the floor bare, with a litter pan near the wheel, but they just pooped on the wheel or on the floor, so I but the bedding down everywhere, and they like it. If you do decide to use wood bedding, I have heard from multiple sources to only use Aspen. Other types of wood cause respiratory damage.
Q3. I got my materials from all over the place. I got my Lamp From the Tractor Supply.
The ceramic bulb I got to keep them warm, and a terrarium thermostat I got from amazon. My philosophy was just to buy inexpensive, and replace with something more expensive if it didn't work out, and after 6 months, I haven't had to replace anything.
I got a Ceramic bulb because it only gives off heat, not light. Because of that, it can stay on all night, so that my girls can get up and exercise, and still be warm.
As far as litter, do not use any sandy or grainy cat litter. It can get between their toes and make a huge mess, and if they burrow in it and breath in the dust, which isn't good. I used paper pellet cat litter when I had my litter box still, and would highly recommend it. Any unscented brand should be fine.
As a side note, I would recommend unscented everything for the hedgehogs. Unscented litter, unscented laundry detergent, and unscented dish detergent for cleaning. Also, I don't use fabric softener, but do use dryer sheets. all of this is just to make it easier on them. Hedgies are super sensitive to smell, and can be allergic to many things, so i try to remove allergens from their environment, so if something does happen, I can more easily diagnose it.
Q4. The only electricity I use for the hedgies is for the heat lamp, and I think it added about $10 a month, at most. Your experience may vary, based on your heating options though. I would reccomend using A Thermostat Though. This is what I use, and I am sure it has more than paid for itself.
As far as a wheel, I cannot reccomend enough getting the Carolina Storm Wheels. High Quality wheels from a place with great customer service. Everything is disassemblable for easy cleaning, height is easily adjustable, and it is silent, except for the nails clicking on the surface. Spare bearings are included too, if one does go bad. I have two wheels from them, and both are excellent.
And as for any advice, I would recommend reading Pet African Hedgehogs. (This is a PDF available for free.) Anyways, I would highly recommend reading it. Treat nothing written about hedgehogs as gospel, because there are so many conflicting opinions, but this book is worth the read just because of its easy, simple style, a ton of knowledge packed into a small space, and what I feel is the author's over concern for her hedgehogs. Most of your questions will be answered in this book.