I would not use straw or hay, as both have a tendance to retain moisture. and will decay much faster then other types of bedding.
We use saw dust form a palette making place. it's much courser then typical sawdust. It more like those compressed wood pellets sold in farm stores for bedding.
the first week or so we have chicks and poults on either on old blankets, paper towels, or roughed up card board. After that they usually don't eat the bedding, Much, but they do some.
The "Saw dust" is sifted twice once through a 1/4 x 1/4 screen to get the big stuff out. then again through a window screen to get the stuff to small.
I have ton's of the stuff in piles here so it's really cheap.