I don't usually bother slowly weaning them over on the hay when I switch.
Also, be aware that the quality of your local hay is going to vary greatly. I can buy orchard, bermuda, coastal, and timothy locally from farms but it's very yellow and stalky.
We are as gods to the beasts of the fields. We order the time o' their birth and the time o' their death. Between times, we ha' a duty. - Terry Pratchett.
"Men have forgotten this truth", said the fox, "But you must not forget it. You become responsible, forever, for what you have tamed. - Antoine de Saint-Exupéry