I have the same dilema. I harvested 40 large bale off two fields last year and took them as silage, as it was very wet. Wrapped and fenced off it worked well enough, but I'd prefer hay if I can get it.
To build a shed to house that lot will cost me around £1000 doing it myself, so need to re-think it before harvest time.
I could again go silage.
I can make haylage and both of these are wrapped, but you have to have enough sheep to eat the bale before it spoils.
I had thought of wrapping the hay once it dried out, but I'd still need to sheet it against bad weather.
Or I could save my grass and buy it in as I need it.