There is a place in Washington State that sells awesome wheels that our hedgehog just loves. They are called Haba Safety Wheels. Let me go look for the number...
(206) 244-0285 They are in the neighborhood of $25, but they are a terrific design. Once you get one, you could probably easily copy the design and make another yourself (our first one broke but that's because we tend to be rough on it when cleaning -- hedgehogs like to poop while running, you see). It's basically half of a plastic bucket attached to PVC.