I also use Equine Fresh pellets. As previously mentioned, don't add water to the pellets. It only reduces the amount of urine they will absorb. The pellets are very hard though and certainly not comfortable to be laying down on. Plus they are slippery and unless covered, can cause people and horses to slip.
For that reason, I top off the pellets with deep shavings. I prefer aspen because the turpentine oil in pine can be very irritating to their skin.
The pellets act like kitty litter and are easy to get the wet spots up, which I do every morning. If they end up in their stalls on a blizzard day, I clean 2X more per day. On an ongoing basis, I just put down a thin layer of pellets to replace what has been taken out. If your horse always pees in the same spot, you only need to put the pellets there and not in the entire stall.
Straw is your horse's best friend on a cold winter night! I put 4 or 5 bales in to start (12x15 stall) - on top of everything else. Yes, there is some waste, but the warmth factor is fantastic. After you get the hang of it, it's not all that difficult to pick out the manure. There will be some waste, but the compost is like black gold in the spring and can be used for mulching or in a garden.
I know my 27 yr old loves the cushion when he lays down and extra warmth that his own thermostat is no longer able to maintain. It has done a lot to keep arthritis at bay.
Straw is cheap too. I only have to add more on an infrequent basis to re-fluff. If you try it and find they eat it, after several days they lose interest in eating it and you're good to go after that.
Sorry for the long post.