Hi
Can you please tell us whether you are dealing with mange mites (tracarus caviae) who burrow their eggs in the skin or hay mites (chirodiscoides caviae) who fix their tiny dark eggs to hairs.
You can find more information in this guide here.
With hay mites you definitely want to get rid of your current hay batch and depending on the extent and virulence of the infestation, you may want to give your piggies a very short haircut that removes most of the egg and cuts massively down on the number of mites that can hatch and that do not have to be killed chemically.
Mange mites don't need a haircut because their eggs are in the skin (which is very unpleasant) but they definitely need good quality ivermectin or selamectin to get on top of them.
Please have your piggies vet checked (before you cut off any hair as they need to have material for a diagnosis) and have them treated with a vet grade ivermectin or selamectin product. Pet shop products are not strong enough to cut through an acute outbreak. It takes at least three rounds at the product specific interval to get on top of them.