I felt that way before I purchased my hay rack. Now that the hay is held up off the ground, he ends up eating most if it before it falls in his litterbox. I still go through 9# of hay about every 3 months though with 1 rabbit, and he is only like 3.5 pounds. But I really don’t throw much if any away.
I have this hayrack (http://www.leithpetwerks.com/prodpage.cfm?prod_code=HH125) which holds about 2-3 days worth of hay for Riley if I really stuff it. The thing I liked about this model was that it was larger than most of the one’s in pet stores, and it has a solid wood back, so that the hay doesn’t fall outside of the cage (which helps keep my apartment cleaner!). I was a little worried about the wood construction, but Riley has so far left it alone, and I have had it for over 9 months now. The other great thing about it is that it just hooks over the wires of the cage, so you can easily take it out, fill it over the bin of hay, which keeps the hay either in the rack or in the bin. It seriously keeps my floors so much cleaner than before!