It's always worth laying a newly shorn fleece out to dry before you store it. This might be over a gate or on a sorting board. Sheep do sweat - or if it isn't sweat then it's damp of some kind - so allow the cut side to cool off for an our or so.
Pick off any actual dags before rolling so there's nothing to cause rot, but leave the main skirting etc until you have time.
Open topped bags or boxes are a definite no-no. Clothes moths don't only eat wool; we found a whole lot of hatching wool moths in a feed bin once, and they live happily in out-buildings. But they do love wool so if you leave your bags open you are just inviting them in, plus every mouse looking for a cosy place to have her babies, or bees as Dogwalker found. Dust and cobwebs will get in too.
Like Sally, I store my fleeces in woven polypropylene sacks, new ones, and I hang them from the beams in the barn. With the top of the sack tied tightly, especially if you fold it over again and tie it again, the moths can't get in but air can still circulate. The one drawback of polyprop sacks is that they will eventually photodegrade if left in the light, which leaves you fleece full of tiny bits of sack, which are impossible to pick out.
Some times hessian sacks are recommended, but I don't like them as they often have holes in, or mice can chew holes in, and the weave is usually too coarse to keep the moths out.
Polythene bin bags are only suitable to store washed fleece in, or to transport a fleece to a show, but definitely not for long term storage of raw ie unwashed fleece.
If you leave the bags standing on concrete they will get rising damp and go off, so even if you can't hang them up, store them on a table or similar, up off the floor.
If you are selling fleeces, make sure you have stored them properly before they leave you, as no-one will thank you if moths or mice emerge when they open the parcel.