Yes. What Labrynth said. When you cannot find wood stove pellets, use Feline Pine (or the generic). It is $9 for 20lbs. It is still much cheaper than anything else AND it really does last for a whole week. Shavings reek in 3 days, Carefresh does too.
However, it is heavy. Some people don't want to lug the bags around or their cages can't support it.
The woodstove pellets lasted 10 days in my 3 grid wide cages too. However, when they hit that 10th day, you can tell from the other side of the house. Up until then, I really can't smell them at all. My Mom actually said they had a nice sort of wood scent when the pellets were new.
They are ideal for pet sitters. I fill the whole cage with them when someone else is watching the pigs. They can just dump handfulls of hay in and it doesn't matter.
Do you mean the hay in the giant tub under the table? That hay box has a lid on it normally.
You should store hay in a dry cool place. It should not actually be wrapped up in plastic- hay should breathe. A cardboard box with holes is ideal.
I bought them in the dollar section of Target, as I said. :)