My pigs took a little while to get used to it, but the hay rack seriously cut down on the time I spent cleaning. I'd say it was more for me than them, but they seem to enjoy climbing on it and all. Every so often when I have the extra time to clean all the mess up, I dump some hay into their cage for them to play in, and although they've never really burrowed, they enjoy running through it and basically scattering it around the whole cage, so that's how I balance out letting them have fun with the hay and making my time cleaning it all up easier.
I was a little bit apprehensive about using a bent grid hayrack, as a lot of peoples' pigs climb into it and with one very explorative pig, I was concerned that his next step after making his way into the hay rack would be using it as a stepping stool to climb out of the cage, which is up high, so that would be a huge problem. So instead I took a not huge cardboard box (a graham cracker box is what I've had most success with so far), and cut holes in the sides and bottom. I put hay in through the opening in the top and I can just close it using the tab to make it look a little neater. They seem to enjoy it and it keeps everything less messy.