Is that like fleece that blankets are made from?
Yup, polar fleece. You need to have an absorbant layer underneath it to catch the pee. Cotton batting or heavy layers of newspaper work. Puppy pads are a favorite.
How often do you change it?
Every 2-3 days is normal. It needs to be spot cleaned every day.
Do you run it through the wash machine?
You can, but get all the hay and shavings off it first. Otherwise it will get in your machine.
How well does it hold up?
It should hold up well. Will last you a very long time.
Couldn't the piggies get under it and get to hot?
Some pigs dig under it but if they get hot its unlikely they will stay.
I stopped using fleece more than once because many people, including me, couldn't stand the odor. Not all people have an odor problem. Also, hay and shavings stick to it and are a pain to get off. If you don't they stick inside your washer. My washer stank after I washed the fleece. It works for some people but not for me.
If you can afford the cost vet bed would be a better alternative. If you like the shavings, kiln-dried pine is an excellent choice. It is absorbant and extremely cost-effective. I buy a big bag for $5 and it lasts me five weeks for my 2x6.