Good ideas folks - thankyou!
We're getting through half to 2/3 of a square bale per day at the moment between twenty zwartbles. Unfortunately our hay shed is in our yard, rather than in one of the fields, so I can't let the sheep in there (for one thing, it's full of ducks at the moment!)
Also, I've twice had to free sheep with button ear tags caught in hay nets, so I gave our nets away to a horsey friend. Perhaps your sheep aren't as daft, Rosemary!
I'll try a builder's bag in the first instance and see how I get on. Thanks!