I seem to remember from my childhood, being fascinated by the series of "Romany" books. If I recall, hedgehogs were cooked by wrapping them in clay and putting them in the embers of a camp fire.
I assume (and hope) that there was some way of killing them first, but how, I don't know.
I would be horrified if anybody did this these days; times have changed and there is no shortage of other things to eat.
I think the point about wrapping them in clay, other than providing insulation against burning the flesh, was that tearing the clay off would pull the spikes out, which would otherwise be quite a chore.
It goes without saying that raw hedgehogs and cooked hedghogs should never be stored together. But seriously, cook them very well because they do carry salmonella.
Personally I have found it easiest to wear down the quills by using them as boot scrubbers. I have several ripe ones by the front door at all times! By the time the quills are gone, they have cooked naturally in the sun. Mmmmm mmmm. (You may want to add salt.)