First cut out:

2 - 3 1/2" x 3 1/2" pieces for the ends
4 - 3 1/2" x 7" pieces for the sides

I wouldn't recommend going much shorter just because it will get hard to sew with a sewing machine (unless you are hand sewing). I started cutting with a rotary cutter, but found my burlap was really tough to cut with it (probably needed a new blade) so I ended up cutting with scissors and that was easier for me.

The easy way is to cut strips 3 1/2" wide from the burlap, and then just trim down to 3 1/2" or 7" lengths as needed. Hey, I can't help myself - I think in terms of ripping and cross cutting :)

Next take your four bigger pieces and sew the long edges together with a 1/4" inseam. I used a zig zag stitch just because the weave of my burlap was pretty loose and I worried a straight stitch might not catch the open weave in spots.

Once you get your four sides sewed together, things will look like this.

Now this is where things start to get a little tricky, but if I can handle it, you can too. Position one end on the end of the sides, matching edges.

There's one end done.

One the last end, leave an opening for stuffing.

Stuff away - I used old stuffed animals and throw pillows - and then pin and stitch the opening closed.

Trim excess threads and pull excess threads away to create a frayed look.

There's the straw bale! Now we just need some ties.

Take the embroidery thread and measure out enough to wrap the straw hay bale and tie in the front.

Don't knot the end, just leave enough left out to tie the end (about 6"). Stitch around the bale, about 1/3" from the edge, all the way around.

Then just tie up the two ends. I first knotted the two ends together, then made a bow, and double tied the bow.

Aren't they just so cute?