I use a cat litter tray with hay in it, they do drag some of it out over the fleece but it contains most of it.
I did try building a hay rack. I was concerned about them getting hung up in metal one so I built it out of cardboard and it worked really well in that they had plenty of fresh hay to eat that they didn't wee on. However, over the course of 3 months first 1 pig, then the other got a minor eye infection. They cleared up quickly with drugs but I was concerned that it was caused by bits of hay dropping in their eyes from the rack as they ate.
I've removed the rack and no more eye infections have occurred. I realise only 2 data points does not make for a statistically significant conclusion but I didn't want to take the risk.
The hay tray is a reasonable compromise for me.