They didn't have hay bales back in the old west. Hay was set up in stukes (sp??) and then put onto a flat wagon by pitch forks, then unloaded into the hay loft, by a pulley, winch, flat board and rope.
If you want hay bales, ERTL makes them, and you can still get them from eBay, other stores on-line, etc. Look for 1/64th scale. My son (with my help) bought some from a company out in Montana on-line when he was younger.
Good Luck
Hitman