I would fabricate a special set of "shafts". They would attach to the horse as standard shafts, but the rear portion would be attached to a crossbar approx 6 inches wider than the bale. Extending rearward and hinged to this crossbar would be 2 arms approx 3 ft long with dogs on the ends at 90 degrees which would grip the bale in the center. After positioning the unit the arms would be set into the bale and either pinned or secured by some sort of device to hold them in place, possibly a chunk of chain extending from side to side. I would make this out of aluminum tubing or hardwood, something light, as the driver would need to manhandle it into position. I may build a prototype and post a video up. This device would permit braking and accurate steering safely. Good to see fellow ONtarians thinking outside the box though! If you are anywhere in Central Ontario I'd be glad to meetup sometime to swap stories/ideas.
When I had horses, I did it all wrong. Here I was lugging it to them and here they could have been helping out. 😆 Btw love to see the type of lifestyle y'all live. I hope to bring my lifestyle closer to the earth in the coming year as well.
In short, I wouldn't do this downhill, BUT, going downhill it is pretty easy to roll the bales. The issue really becomes stopping them ;) Perhaps roll from the downhillside, slowing the bale as you go? I often "brake" the bale by leaning into it, when it gets too much momentum.