Usually you'd use a dust bath, or let nature work its' wonders (i.e. let the little rat, i mean hamster, clean itself, much like a cat) or else I'd recommend taking a face cloth and immersing it in lukewarm or warm water and scrubbing the little hamster. Or else use a baby wipe, if they're on hand.
You don't have to bathe a hamster. They clean themselves often, like a cat. I've had mine for almost two years - he is sweeetest little guy and he always smells good and is clean. If your hamster does have an odor - sometimes it does have to do with the cleanliness of his habitat/cage. It should be cleaned at least weekly - depending on the hamster.