I've bought round bales from feed stores that used forklifts to load them at two different places. It was awkward, but they where able to get a single bale in the back of my pickup truck.
When I first got into feeding round bales instead of small square bales, I tried using my pallet forks. In time I might of gotten better at it, but just driving down my driveway, I had trouble keeping it on there. I might of had better luck if I widened them. I only did it a couple of times before buying a hay spear.
The hay spear is night and day better. It stays on there no matter how fast you go, or how rough the ride is. You have total control over the bale, so you can stack them, put them side by side, or make as long a line as you want. You can unlade a trailer, or get one out of the back of your truck easily. They really are a must have attachment if you have round bales.
This is what I have. I paid a lot less for it ten years ago, but it's probably still priced pretty good. A few years ago I pulled a wood post with it that I thought was set in compacted dirt. The first two where, but the next one was set in concrete. It bent my spear, which ruined it. You have to have straight spears to get them out of the bale. Otherwise, the bale just wants to stick to it and not come out. I ordered a replacement spear from Titan, and it arrived fairly quickly. No issues or complaints.