I use hay every year for extra insulation. I like
hay better than straw because it seems softer, maybe
easier on them as they tunnel through it, and I would
also think that hay breaks down easier, which is what
I want it ultimately to do.
I use it in my adult pen and I don't know how necessary it
is, but it makes me feel better, especially when when have
lengthy periods when it remains well below freezing.
I'm going to have to go buy some more hay today as we're
having temps in the 70s today and tomorrow, but they are
supposed drop significantly after Thursday with lows down
to 24 degrees.
I have juveniles in wading pool habitats (peat moss as substrate) on my deck and I'll be putting flakes of hay on
top of the substrate as well as surrounding the pools with
flakes of hay for extra insulation, as the juvi's often end
up burying themselves right next to the wall of the pool.
Once they're down for good, I usually put a tarp over each pool.
Haven't lost a juvi yet during hibernation.
When spring comes I take most of the hay out and set it next to the pen, which provides a nice area for bugs to live and then the bugs end up going in and out of the pen, providing a food source, and I put smaller amounts of hay back in the pen as needed for cover. As that hay breaks down, I replace it more hay from outside the pen.