I have a couple of Speed Bump Piggies too! One in particular would spend all day, every day trying to outfox me if it wasn't for the lure of a bit of Salad to distract her!
How long have your Piggies been on Fleece? If it's still fairly new to them then the novelty of burrowing will still be quite fresh and they may grow out of it especially if you place stuff around to discourage them.
The easiest way to stop them is to draw the fleece up over the sides of the cage and attach either with Bulldog clips or pegs, but I found that one of my youngsters used this as an excuse to chew so in the end I settled for sticking heavy objects at points around the cage to prevent burrowing. Things like log cabins, bricks, cleaned off garden rocks with no sharp edges etc.
Depending on your type of cage you may also be able to use Velcro, (sew the fluffy side to the fleece and stick the hook side to the cage) however proceed with caution as if the Piggy can get at the Velcro and manages to nibble the Hooky bit, it could cause serious and potentially life threatening problems.
Another very good way to deter them from burrowing is to try and confuse them a bit by placing a big scrunched up bit of fleece on top of the bedding, in a corner. Piggies will get a bit confused and burrow under this instead, and of course this can be replaced on a daily basis if necessary and go in the wash with the rest of the bedding on Washday
Tatts, who is my serial burrower, still occasionally manages to get under the fleece, but instead of fighting against her I just let her get on with it now as she's obviously having fun! That said, I do get a bit annoyed if she manages to turf a food bowl whilst tunnelling her way to Australia!