Fleece. For so many reasons: fleece.
Fleece is less messy - it doesn't get tracked around your house, stuck to hedgie, moved into the food or water dishes, etc...
Fleece allows you to pick up on health conditions more quickly as you'll see the color, consistency, and amount of poop/pee instead of it being hidden in the particulate bedding.
Fleece isn't dusty (better for hedgie lungs), doesn't harbor mites (you're not going to bring home a package of fleece in which mites are living -- like you can with shavings), can be cleaned regularly, etc...