You can pick up 2 round bales at the same time if your skid loader can handle it. Buy or make a bucket with at least 4 spikes on it. This will allow you to pick up two round bales side by side on the flat side. You can also pickup as many big square bales as you skid loader will handle.

 Virnig makes some very good buckets.

http://www.virnigmfg.com/products.html?page=shop.product_details&flypage=flypage.tpl&product_id=61&category_id=7