First I would do some research and see if you'd still be able to bring them to a vet and have them treated if necessary, or if that's off the table. I wouldn't have peace of mind knowing that there's no place to bring my hedgehog if something happens, and I wouldn't get one if that was the case.

There's a useful PDF that I read through before adopting my hedgehog, here's a link.

For heat lamps, ceramic heat emitters are the way to go. They're like normal heat lamps, just without the light so it doesn't disturb their sleep/wake cycle. I used two domes like this with heating elements like this on top of my hedgehog's cage. It's a good idea to pair it with a timer like this that has a temperature probe so that you can automatically keep the cage a proper temperature, not too hot and not too cold.

As for bedding, your options are fabric liner, recycled paper, or something like aspen or kiln-dried pine (it's important not to use something like cedar). Which one you use is up to you, I prefer using stuff like CareFresh paper bedding so that my hedgehog could dig around as much as he wanted to. I also had a separate litter box I let him dig around in that was a bit deeper than the cage, so he could really burrow and stuff.

Lastly, a snuggle pouch like this (can probably find better/cheaper ones on Etsy) is a good thing to have for bonding and stuff.