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I set up the L shape of bales using a total of eight bales. Each leg of the L is four bales total, two long/two high. Then, I wrapped the bales in a tarp only because I'd like to have some straw available as mulch next spring on the garden beds and I don't want it all to turn to mush due to exposure. (I'm sure I'll lose some of the straw, particularly what touches the ground, but this will keep most of it nice enough to use as mulch.)
I turned the tarp so the shiny, gray side was facing out as this will reflect more heat. My coop's pop door faces west so I placed the first leg of the L just to the north of the pop door, heading due west and then continued the next leg of the L heading south. This will block the north and west winter winds. Also, it will block snow from drifting up to/over the pop door.
My purpose in creating this mini shelter inside the main run was to encourage the hens to go outside and get some fresh air during the winter. My coop is too small for them all to be confined all winter long and everything I've been reading encourages fresh air over confinement. Also, by using the tarp to trap and reflect some of the warm southern sun I hope I'll be creating a little warm pocket that might help keep my waterer from freezing so easily as this is located just inside the pop door. (I'm also building one of those cookie tin heaters--look it up by doing a search on this forum--ingenious idea!) But, even before I put the tarp on I was amazed at how much heat from the sun the straw was trapping/reflecting itself.
As for how high to make your wind block... I didn't take my chicken's height into account (especially since I have some excellent flyers) so much as I thought about the height necessary to block snow from accumulating in front of their door.
And, despite all the great advice about how to stack them like bricks, I didn't. I just put one straight on top of the one below and then weighted down the tarp with lots of big rocks all along the ground as well as on top. It's quite sturdy, as I learned when my 5 yr old son promptly climbed on top of them with no damage caused (what is it about boys that they just need to climb onto things?!).
Good luck in building your wind break. I'm glad this thread has been useful for you.