Apparently, it goes back to a Christian holiday called Candlemas Day. On this day, clergy members would give out candles to help people through the remaining winter days. If that day happened to be clear and sunny, it meant winter might drag on. If the weather was cloudy, spring was on its way. When the Germans settled in Pennsylvania, the Candlemas Day folklore expanded to include finding a hedgehog to see how he reacted on this day in regards to the weather.
Also, did you know Phil has a wife? Her name is Phyllis and they hibernate together every year.