I've taken a more subtle approach with baths and applying oil.
Unless they have messies (poop, food, etc...) crusted on their quills, I don't scrub. Instead, I just have the oatmeal water (ie, water with a bit of colloidal oatmeal in it) in a tub, put down and washcloth, let them walk around in it, and get a little scoop to pour the water over their backs.
Then, in terms of oil, I like flaxseed oil. It does a good job of moisturizing, spreads out well on it's own, and isn't as sticky as other options, like vitamin e. I get a capsule, puncture it (typically with a quill that's fallen off - it's convenient), and put maybe 2-3 drops on each hedgie's back - each drop in a slightly different location. You can part the quills with your fingers, then squeeze out a drop of oil from the capsule. Sometimes, though, if they're huffy, I just aim for a spot and squeeze out a bit more -- letting it slide down the quills onto their skin on its own. Recheck in a couple days... and apply another couple drops as needed.
Long story short: glad your little ones are clean and you're tending to their dry skin. Given that they were displeased, aim for a more subtle approach on the next go-around