Self-anointing is a distinctly hedgehoggy behavior. When a hedgehog encounters a new smell in the environment, it often reacts by licking or chewing on the source of the smell, frothing up a lather in the mouth, then making the most amazing contortions to spread the lather on the forequills, back, etc...!
No one is completely sure why hedgehogs do this. Some theorize that it allows them to blend their scent with the environment, thus helping to hide from predators. However, this doesn't necessarily make sense if you consider that it's usually unusual smells that they anoint with. Some say that they do it to spread potential poisons on the quills, to make themselves more toxic to predators. There's some published lab research that showed that hedgies given toxic marine toads to anoint with went for the poison gland and anointed with the toxins (they do have a remarkable tolerance for neurotoxins), but most things in their environment aren't toxic. Certainly, marine toads aren't part of their natural environment! A third theory suggests that new scents overload the scent receptors and they anoint to clear the neurons. Hmm. That sounds weird, too.
Well, regardless of why they do it, it's entertaining! In the pics on this page, a 3 week old albino baby shows you how it's done!
http://hedgehogvalley.com/annoint.html