So we took a surcingle, a girth strap and some ropes and made us a little "hay pulling rig". Much like the one I made for my daughter to use with her pony, you can see the pictures of it on the Ponies page.
Anyway, so we would put the rope through maybe six square bales and pull them out into the field. When we got to a place that one of the bales should go we would just cut the twines and let it loose. After doing this a few times we decided that my little sister should not have to walk and she rode on the bales from then on. I got more and more brave with it as my horse (Ghost Wind) was more comfortable with it and picked up the pace until we were running the bales out there and cutting them loose on the fly, lol.
Of course being a teenager that was just not dangerous or funny enough and I started making sharp unexpected turns, which would incidentally make those bales flip over and over - WITH MY SISTER ON THEM.
We did know how to have fun back then :)