It is a personal rule of mine that I never put real hay bales onstage. Real bales of hay are heavy, they shed, they are impossible to adequately fireproof, and inevitably lead to allergy problems with someone on the cast or crew.
When I can't convince the director or scene designer to use some other option (are you sure you the actors can't be sitting on these lovely wooden crates?), I have developed a method for making hay bales out of foam and raffia.
The raffia bales don't shed nearly as much, and when they do the pieces are long and easy to quickly pick up; they are light and easy to carry, can be efficiently sprayed with fireproofing, and have yet to cause allergy problems in any of the shows I've used them in.
I start by creating foam block the size of the bale I want. This one is made from many layers of 1" foam glued together, because that was cheapest and most accessible at the time. I glued the layers together with liquid nails, and then used more liquid nails to do the initial attaching of the raffia.
Note: This is a messy process, and required lots of dry time. I would coat one side with glue, lay the raffia into the glue, place something on top of the raffia to hold it down, and then wait for it to dry. Once it was dry I turned the bale to the next side and repeated the process.
After the initial round of glueing, I went back over the entire bale with a hot glue gun, pulling and pressing and gluing more specific spots, catching loose ends, tucking in wild pieces and making sure that corners were covered.
To hold everything together even more, I wrapped the bale in this wired twine (found in the floral department of the craft store).
Each stand was wrapped around the bale, pulled as tight as possible and then twisted together to lock it in place.
I could then take the loose ends and press them down into the foam block so that no actors can get poked by the loose ends of the wire.
And here is the final product.