yes - they have hay - I have 3 2/3 bales of it in the garage! 8o
Also, I use kiln dried pine as bedding and change their cage every 3-4 days. Today I gave Harry, my silkie boy, a haircut. I think I've bruised his ego.

But the piggies smell like it too - maybe it's coming from them? Like a marking type smell? I dunno.