I put my round bales up on pallets to keep them dry, then I put four, 8ft lengths of hog panel around them. Hog panels are a sturdy, welded wire panel that is about 3 ft tall. They can stick their heads through to get to the hay but can't climb onto the bales. WAAAAAY less waste.
I came up with this set-up after the frustration of watching my goats climb all over a fresh round bale, scattering hay all over, then peeing and pooing on it! One doe walked all the way from the small, front pen out to the pasture just to pee on the hay and then walk back!
Now they can eat but can't waste much. I also have a tarp over the top to keep it dry.