If youre going to use hay bales and take this from someone who makes hay on a regular basis. When shooting into bales especially round bales. dont shoot at the ends....the end on a round bale are the weakest parts of a round bale. Shoot the sides. YOU WILL NOT LOSE an arrow that way. For small 65lb bales. I have shot through some of them but it all depends on how tight they are bailed and how dry they are when they were bailed. If you take 6-8 square bales, the best way to shoot them so you dont lose your arrows is to shoot into the ends not the sides or top/bottom. You will be shooting into the layers instead of inbetween them. This will alos sharpen your shooting skills as you will have smaller areas to hit. Try it and see how it works.