I shot bales for years. I personally like two large square bales stacked. It ends up 8' by 8'. If you miss that you need help.
Square bales are more dense and I don't remember loosing arrows in them. Sometimes I would slip one between them, but it usually passed to a point I could pull it from the other side.
Sometimes I would drive cardboard onto it with large screws and staple paper to the cardboard.
I got away from shooting them, though, because they wear your carbon arrows badly. Maybe it varies with the coarseness of the grass, but my hay bales would chew the finish down to the black carbon after a summer of shooting.
Jeff