You could use an extruder, it's used with clay however I think spun sugar strands makes for nice hay too. You could also use konafa (pastry sold in Middle Eastern grocery stores) or phyllo dough.
This is a recipe for bird nest but I don't see why you can't use it for hay...
Phyllo Dough Bird Nest
Kataifi - finely shredded phyllo pastry you may recognize from some forms of baklava. It’s easy to find at Mediterranean stores, generally in the freezer section beside the phyllo pastry.
To make the nests, thaw a package of kataïfi and cut the bundled tangle in half. Rewrap the rest so that it doesn’t dry out. In a large bowl, tear the bunch apart a few times, so that the strands are shorter and more manageable. Toss with a few tablespoons of melted butter, and a few spoonfuls of sugar spiked with cinnamon.
Preheat the oven to 350F. Pull out a small clump of the pastry and shape it into a nest in a muffin tin, pressing it up against the sides and forming an indentation in the middle. Bake the nests for 5-8 minutes, until pale golden on the edges. Cool completely in the pan before removing.
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