Find a local builder, and show them your ideas. They will be able to figure out how to build it for you, and show you the plans they develop for the building of this structure. You can “vet” the plans, make sure that it looks like what you want. They they will give you a price, including the wood required, and their work.
Do you have a tractor capable of lifting round bales? What size of round bales are available in your area? Round bales can vary from 600 lbs to nearly 2000 lbs. Not all round bales are “horse quality”, some are cow hay only. Make sure that yours are horse quality if you have horses. So you must KNOW your farmer. And KNOW that you are getting horse quality hay in the round bale… because you can’t check it in advance by cutting one open and taking a look. It’s the interior of the bale that may be problematical, and you won’t find that until the horses eat in that far.
I feed round bales, we make them here on our farm, and we sell them for the consumption of horses and other livestock. It’s lovely hay, horse quality.
My 35 horse Kubota tractor can pick up and carry around a 600 lb bale, and I can put it anywhere I want, standing upright, or on it’s side and roll it out onto the ground (we live in semi arid country). But a smaller tractor would not be able to do this. I take the strings off the bale before picking it up. I put a cargo strap around it, and lift it in the bucket like that. I hope this helps you be able to make the change.