Depends on the hedgie and their personality.
For Satin, we had a plastic dump truck and put mealies in it and under it. She'd hunt her mealies and play with the truck. She also liked to run from hand to hand. She like to run along the floor between my legs and paw at the edge of my shirt until she got under it, then lie down for a snuggle.
Texie just wanted to snuggle. I'd hold him in my left hand and he'd wrap his leg around my thumb. So... not really a play time per se... but an excellent snuggle time.
Bella is scared of her own shadow, so I hold her and talk softly. No petting allowed with her. Just standing, holding, talking. She does; however, like my phone. When I put it on camera mode so she can see herself, she tends to take a long time watching herself.
Marlee likes to crawl all over us... up sleeves, down shirts, up shirts, etc... I just let her do it. Essentially, I am gym equipment... at least until she decides it's time for a nap. Then I'm a snuggle spot.
Sometimes, I let Bella and Marlee snuggle together - particularly if the room is nice and warm. They huff over who gets the better part of the hedgiebag then snuggle down for a nap.