I agree with Hurley and Lock, shredded paper is about the least absorbant for smell and urine you can get. It makes for good nesting material for them to chew up and curl around in their beds. But as a sole source of bedding for odor and moisture absorbtion, I don't recommend it.
Depending on the availability of my bedding sources for that month, I generally use a mixture of Aspen Supreme pelleted bedding (looks like rabbit food pellets) and aspen shavings or pine shavings.
I have to get the Aspen Supreme pellets in 10lb bags from Petsmart. And due to its cost and limited availabilty, I sometimes don't have it at all times. So I generally use the aspen shavings if I'm out of the pellets. The Aspen Supreme at Petsmart runs me around $7/bag. Pricey yes, but you can't beat it's odor and moisture absorbing qualities. Kudos to MagickBears who got me hooked on it. =D
The pine I use is a really fine shaving, halfway to chainsaw dust. I get it in huge 20lb bags from the local farm supply store. It's mainly used for stable bedding. And I like it because its not overwhelmingly strong of pine odor, which to me means not so much of the oils. It just smells like wood to me. I've not had any issues at all using it thus far, and generally I don't add enough of it to really concern me. I mainly use it for their nest corners and thats it.
About the only other thing I use for most of my "odorous" critters is Marshall Ferret Bi-Odor liquid. I add a few squirts to the water supply each time I refill, and it naturally eliminates the ammonia in the urine and stool. Which when you have a ferret, anything that works proactively is a God-send. It works well in cats, rodents, guinea pigs, etc. It's around $12 for an 8-10oz bottle.
Lastly, vanilla (artificial and natural) doesn't work. Tried it, wasted money on it..got rid of it. It'd be nice to have mice smell like vanilla, but no go. I also tried liquid chlorophyll in the water. It helped, but it stained my water bottles after a time.
I'd recommend trying definitely something more absorbant and seeing how that goes. You might be pleasantly surprised. Let us know how it goes.