I don't use a hay rack. I have one that I bought but Zeus just made a huge mess pulling the hay out of it and throwing it all over the floor, because he's picky and only eats the 'good' pieces of hay. Instead I just have a gaint shallow plastic container that I fill with hay so the rabbits can jump in and dig through all the hay to find the pieces they want to eat.
I tried making a hay rack from an old wooden CD tower before, but stopped working on it when I got the one from the store and relized that using a hay rack just meant more for me to clean up!