Just thought i'd add a little something as i've actually developed this idea a little further as this hay bag had quite big holes and i ended up with a piggy hay poke in the eye and i was worried about them doing it again as they can actually stick their heads in the bag so i went out and bought some of this thick ribbon stuff i'm not sure of it's name but you find it in most crafty stores, it's quite strong almost like a flat rope if that makes sense?
So here it is i've used this for about 2 weeks now and i really like it as i don't have to worry about naughty piggy heads getting stuck in the bag and not quite so much hay falls out because it's even further kept in the bag, it basically just recreates a grid out of fabric, this picture is before sewn just pinned in so you get the idea, hence the dodgy spacing and general wonkyness, i just opened up the two boxes into one large rectangle and tried to cut strips to fit about a similar size to grid holes.
Obviously theres nothing wrong with using the first idea i just prefer this one as it is a bit safer for eyes and such!