Some people say don't use hay as it sweats and use straw. No wonder folk get confused, each to their own though.
I alternate from straw and shavings (get the straw free from work) but shavings smell nicer and seem to absorb more.
I have a upturned wooden wine box and fill that with straw on the lower deck.
Then at the top in the bed compartment I have a cat/dog bed and have that filled with blankets and old sheets.
They sleep at the top and mainly use the bottom nest box to stash their food, which solved the problem of them taking the rabbit and pidgeon parts into their beds! Putting