For what its worth. I have a skid and more tractors than most. The skid sits most of the time. Don't get me wrong. It has its use, and as a dedicated small loader its impossible to beat as long as your not concerned about tearing up the ground and the ground is either dry or you have some sort of tracks (without tracks a skid is worthless in muddy conditions.)
I wouldn't want to give up my skid but if it came down to having the skid or a tractor, Id go for the tractor every time.
In your case I would be looking at the largest of compacts (mahindra 5035 comes to mind) or make the move up to a utility tractor. Hay is not only heavy its bulky and puts the weight a long ways out. On my last tractor purchase I looked long and hard at my options and ended up going with a used 2002 TN75D and I have to say I really enjoy that tractor. The power shuttle makes it nicer for chore work than even my 2012 TD5050 with mechanical shuttle. And with filled rears its very stable moving big round bales.
I've used the TN to drag my arenas but its honestly just a bit big for that though it will do it for sure. I usually use either a Kawasaki Mule, or an old Ford 3000 for arena dragging duties. The smaller package over all works better especially in my smaller indoor arena.
If your wanting to move hay on the front loader Id not look at machines less than 5000 pounds. Weight really is your friend here.
