I use small bales myself, but do you mean around it in a square?
How about mimicking one of the large bale feeders that holds them up in an inverted "V" using two hurdles, then two more across the ends to keep the "V" from flattening out and stopping them pulling hay out too freely from the ends. Should have the advantage of keeping the hay off the floor, and as the bale reduces in size, it falls down under gravity. Could work, but I've not tried it. Potential problems - lifting the bale to start with, and bending hurdles.