We certainly do, no they build their nests out in the open. Firstly you must use hay not straw as hay knots and binds where as straw is loose and useless, secondly you have to give them a 4x4 bale every 4wks in winter although its now been 6wks since mine had their last bale (also my bales are made on farm and I have them wrapped to half a ton (silage weight) on a 200hp tractor) so your typical hay dealer bale may require four bales at a time.
I have a photo I will put on shortly of them this week but the nest is now six wks old and they have eaten at least half and spread it around when the moved it across the field. I will take new photos in a couple of weeks when they get a new bale(they are moving paddocks).
Today we just built a luxury shelter for the sow and her 9piglets(3wks old, she came in the stable to farrow) out of 3 Heston bales and some box profile sheets with a couple of ratchet straps to hold them down.
On the pigs eating hay front, I would say my sows eat 5+kg of hay a day every day on top of 3kg of home blend, but then I do make a damn good bale of hay!