I made mine from felt. Unfortunately, I have no idea where you would find the kind I used, as it came from work. The job no longer exists, much less the Unisys NDP1150 check reader-sorter the felt strips came from!
It was a very dense, pale biege felt, about 3/32 inch thick, and came in strips 9/16 inch wide and about 3.5 inches long. One might be able to find a similar material at craft shops. If so, the method is easy.
Using the cheapest craft paints you can find, mix a a batch that matches your desired hay color. Dilute that with water, quite thin, and dunk the felt strips in it. Once they've absorbed the paint, squeeze out the excess and allow to dry thoroughly. Then cut the pieces into whatever size bales you want. I cut mine into bale-width strips, then cut the strips into bale-length pieces.
Since the paint gets used up quickly, if you need a lot of bales, the color will vary a little from batch to batch, making for a nice mix in the finished stack or field. In my case, it was also very cheap, using only a few cents worth of paint. On the other hand, the coloring is quite messy, and should be done with lots of paper towels, and on a paint-proof surface, over a thick pile of newspapers, or outside. Once it dries the cutting can be done anywhere.
