We give our sheep adlib hay all winter - they won't OD on it, but they may drop quite a lot on the ground then they won't eat it, even if you put it back in the feeder. I doubt they will need ewe pencils or similar though as you won't be breeding from them, so they will have a tendency to get fat.
We use barley straw for bedding and they do like it and often eat it, but as you say there's not much nutrition in it, and it's hard on the teeth, so not ideal for sheep you hope to keep for a while.
Yes, get insurance as even one sheep can cause an accident.