Don't worry, it's an instinct thing and a fun thing. Remember being young and loving to fit into tunnels at the park or playground? It's normal behaviour and your piggies are having a great time with their fresh toy! Mine burrow under the hay, sleep under there and throw it around all over the place as well as eating it everytime I clean them out. I clean them every 5 days, and the hay is pretty much trodden down by day 3 or 4, so i have given them cardboard tubes to hide in. It's important to remember that as they have lots of natural predators, piggies are naturally nervous and feel much better and more relaxed if they have somewhere to hide out (hence the tubes).