Ditto this. I give mine hay on the floor of the cage (it's where it'll end up anyway) and I lost Comet about four times yesterday because he decided to sleep in it. He always does get a little overexcited where hay's concerned, I'm convinced he thinks it's really just an edible toy. He has so much fun though, it would be mean not to let him enjoy it.
My two are fairly good at not pooping or peeing in it, though. They prefer to toilet in the corners, so as long as the hay stays out of the corners I just need to add to it, rather than changing it out. Means less wastage thankfully. It can take 2-4 weeks for them to go through a 1kg bale.