Hadley in particular dives right in when we give her a pile a hay and gets completely under the pile (she often stands where we put the hay and we have to basically drop it on top of her!) But she generally doesn't sleep in the pile, she has another corner for that!
I have noticed that Leela will sleep with her face against her food dish, presumably so she wakes up if Hadley tries to eat it. And one of my past pigs, Sundae, would drag a food bowl into the pigloo and hoard it there! This is why we have two bowls! LOL!