I have a couple in my gallery... check it out for some ideas if you would like. When I did hay bales, I used caramel candy pieces and pressed an indention into them to make them look as if they had texture. HTH!
You could try using a rice krispie treat square, and then cover it with brown buttercream using the grass tip, so it looks like short sticks of hay.
for an even quicker hay stack. Shape or cut cake, marshmallow, or rice crispy treats and cover with toasted coconut. Thats what I did for one large hay stack made for my sons first birthday cake. Pumpkin patch theme. It is not in my photos but it is on my website Under custom themed.
I used fondant rectangles, and my fondant extruder with the hair/grass attachment... Worked great! 
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