nesting materials

Recently I've been wanting to make my rat boys some little bags out of fabric that they can use as little places to hide and nest in (they already have a hiding spot but i think they'd like some variety). The only issue is I did that when they were younger and they also had a bag for nesting in...

While looking on Oxbow's website (to see if their essentials diet for rat was non-GMO or not), I came across that they recommended putting hay in yours rats' cage for nesting material. Is it worth it to spend the money and get them some hay? I saw something on one site saying that the oils found...