Inversely, I use hemp bedding from Old Dominion (they come to our local exotics show).
Does need to be changed more frequently, but it tends to hold the moisture and pack itself up like a mulch. Best luck I've had with it is putting it in dry, dampening it to the point it starts to cling to itself but doesn't have loose water, then putting everything else back in his enclosure.
He seems to like that it stays fluffy enough to let him burrow, but retains water better than some options like aspen. I'd really liken it more to a softer cypress mulch, but that doesn't retain humidity quite as easily on its own. But we'll see if my tune changes when he's upgraded to a full on large tub later this year vs his current 20GL housing.
Ultimately, for $15 a bale it's already going to last me a year+ even with the changes.