+1 with Aaron's comments.  Mine go back in the dense hillside pine woods which gets them out of the wind and provides a lot of places to lie down.  When I have occasionally on extremely cold nights taken the bale ring off of a partial bale of hay they all lie there, it ends being the communal bathroom.

when I was moving hay feeders around frequently a couple years ago, I had one lie down where a ring had been, next morning she was dead. Went caste. Sunk down in the soft spot body heat melted a bit of frost and she couldn't get up.  An expensive lesson. I do not move hay feeders much if at all any more once the ground freezes. Had about 4-5" of heavy wet snow in WI today.  Great moisture. I won't be moving feeders until cleanup in May.

They can lie down in many places in the woods, out of the wind. I think that is really all they need. They move to different spots. Manure gets spread around.

Jim