Hedgehogs need a safe place to spend the winter hibernating, here is what you can do.

Provide a bed for Hedgehogs
Provide a bed for Hedgehogs

Build a log pile

collect any dead wood you have from the garden and pile it all up in a quiet corner of your garden. These can be lots of twigs and small branches, small logs or larger chunks of wood stacked on top of each other. Hedgehogs will find an opening through which they can enter the safe and secure gaps in between. They may also use these piles for nesting and sleeping during the day. An extra bonus is that log piles also attract other insects which in turn can be food for your prickly friend.

Build a leaf pile

collect any leaves in Autumn and make a leaf pile with twigs and small branches, again in a quiet corner of your garden. Leaf piles are also used for nesting and sleeping.

Build a fancy hedgehog house

find an old pallet, or other left-over bits of wood and build a fancy hedgehog house. Position the hedgehog house in a quiet corner, preferably underneath a tree or shrub. There are many (free) plans available online.
Or, you could buy one of course, but what's the fun in that?!