We stack ours outdoors, on wooden pallets - two on the bottom, one on top. Farm manager has some source she found on Ebay(I couldn't find the link right off) for what are essentially 3-ply reinforced tarps used for covering shipping containers, or as billboard covers, etc.; black on one side, white on the other - the ones we've gotten have been roughly 24x60 - just the right size to cover a semi-load of 32 round bales stacked in that triangle configuration; think she's paid about $120 a pop, plus shipping. Pretty inexpensive.
Have seen some of the billboard cover ones that have 'sleeves' along the edge that would work for inserting pipe to weigh 'em down. That'd be handy. We've used tarp clips and clothesline rope to tie the edges down to the pallets the bales sit on - and it works OK - but you gotta use ENOUGH clips to match the amount of wind exposure your stacks will catch.
Just folded up two tarps yesterday afternoon that we'd fed all the hay out from under earlier this season. After 4 winters , they're still in almost as good of condition as they were when we first bought 'em. They're tough.