Yes, offer hay. They need long stems to stimulate their rumens to develop properly. You can give nice barley straw if you prefer, but they need some forage from a few days old.
Personally, if they are less than 3 weeks old and resisting milk I'd withhold creep until they are taking their milk properly. They need milk up to at least 5 weeks old - they can get by on creep and forage from about 3 weeks if they have to, but they will never develop properly.
And I agree, be persistent with the bottle and if need be, hunger them to make them want their milk.
Have you had orphan lambs before?