We've tried all three ways - just the old stuff first til they've been good children and eaten it all; one bale of old and one of new in each end of the hay heck; filling the heck with old one day, then when that's gone, replacing it with new, and alternating like that. We also usually sell off most of the previous years crop after we get the new crop in and we know it's safe.
Of the three ways, just feeding them the older stuff works ok, but I worry about the nutritional content, so that normally goes to the tup field and to non-breeding ewes. One end of the heck with old and one with new doesn't work, I agree, although if they eat all the new then they don't get any more til they've cleared the old. It works best for us with alternating new and old. Early in the season we are happy to do that, but then for the breeding ewes we just use the new over the winter.
Sometimes the older hay is actually better quality than the new, then we keep the best stuff for the ewes coming up to lambing. It all depends on the quality of each haymaking.