We usually put them on hay for about a week before shipping. Mind you, we don't pre-condition our calves (just not set up for it) so we ship them right off the cow in early November.
Amazingly enough, after the long haul to the auction mart, when I check them they settle in very well. Very minimal bawling and seem to head right to the feed bunker (the mart has an understanding that long haul calves go straight into a feed pen for the remainder of the night, come off feed in the a.m. and get sold the afternoon. Usually ends up being around 24 hrs after they leave our place). No complaints.
Conversly, I've seen short haul calves sell locally that looked terrible. They just seem to stand around bawling all night. Maybe the long trip in the liners tuckers the long haul calves out enough so that they settle in better.
Take care.