Stick with pine shavings. I wish I had. I switched to straw and my Jersey Giant ate it and got a REALLY bad case of sour crop. She survived and is fine today.
I see her eating pine shavings (crazy bird) but it's never made her sick.
I've been using pine shavings, and I plan to keep using them through the winter. I prefer the way pine smells and just find it easier to work with. My new coop is insulated with some leftover packing foam my dad was able to get from work, but I don't think using pine or hay will make any difference in the warmth of the coop. I don't know if hay is any cheaper, but I get 25 lb. bags of shavings for around $6 each, and they last me pretty good. I don't use deep litter, though, just spread some out on the floor under and around the roosts and scoop some out and add new when I think it's smelling a bit too ripe.
@Illia, I love your avatar. So many pretty colors!
Did those eggs come from your chickens? If so, how many different types of chickens do you have to get that many different colors?
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I've thought of pine straw. If I went out under all our pine trees with a rake and a wheelbarrow, I could probably fill up a couple trash bags pretty quickly.
I was actually thinking of it more for the run than the coop, though. I've been adding the grass clippings to the run through the summer, but I won't have any this winter, and I don't want the nice, new run to become a giant muddy mess if we get any snow or rain. It's a pretty big run, though, so maybe it'll take the chickens a while to trash it.
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I've always used hay without any issues. It takes me no more than 10 minutes to remove soiled hay from the inside of their coop. I replace it with fresh hay and lightly sprinkle sevin dust on it and pat it down. It makes great insulation and cushions the birds feet when they hop down off the roosts.
I use hay on the ground to cover clover seeds or or other low growing herbs where the chicks have scratched around the feeding area and that's it. I've tried to use it in their roost and nesting area and they hated it. Kicked it all out almost immediately. I have a mulching push mower with a collection bag and I've been using just plain old grass clippings and leaves and they love it, plus I get the much needed exercise. I have found it easier to clean as I can just scrape it all off the roost into a bucket and throw it in the compost.
Now, my neighbors up the road use hay around their chicken houses to help insulate them for the winter, but they may also use hay for bedding since that's what they're cutting during spring and fall.
We use pine... considering converting to sand. IDK... but we're staying away from straw/hay. From everything I've read about it so far, that can help mites/lice stick around despite your best efforts 'cuz they can burrow into the long stems of the product.