Looks like they hollowed out the middle and created a blanket of hay around themselves. Needless to say, the Moose was happy they made use of it.
Also, as I was taking this picture, this little pig decided to come up behind me and see what I was all about. She puts her nose right on my hand, but if I try to scratch her head she backs up. She'll come around. Once she figures out that a scratch behind the ears feels good. Isn't she cute?!