I don't get along well managing round bales but they have saved me a ton of money this winter and work too.
I don't have a shelter for one.
I have mine in a paddock where I can control how long they are at it. When I open the gates they go in and eat it and when I think they have had enough I get them out of there and shut the gates. There is waste so whatever they have pulled out of it I rake up and throw it back on top of it or use it in the barn.
I have it up on a pallet so it doesn't sink into the ground.
Then I remove all the string so nobody gets stuck in it.
Then I take some bungies and wrap two rows of bungies around it to keep it from falling apart.
As they eat it down and it gets smaller I just keep tightening up the bungies.
That will work pretty good for a while until they eat most of it and it becomes a lump on the ground.
At night if its not going to rain or anything I shove the kiddie pool on top of it to keep it from becoming damp. It looks really stupid too but it surely works just fine.
But if its going to freeze like 32 degrees or lower or get rainy or anything like that, I just cover it up with a tarp and hook each side of the tarp to the pallet. No problem.
Then I uncover it soon as its nice out.