There are three versions of this hedgehog pattern because of the difficulty of finding yarn suitable for the prickles.

One version uses James Brett Chinchilla in shade CH03 which is ideal but a bit too expensive to buy just for a small finger puppet.
The 2nd version uses King Cole Moments in shade 499.
These two were both knitted as I find it impossible to crochet with this type of yarn.

The third version uses loop stitch. If you are unfamiliar with loop stitch there are a number of tutorials on youtube. One that I found easy to follow was www.planetjune.com/help