I'm allergic to hay and hay dust, but have my own farm and mess with hay everyday. I can pick up a flake or two and be fine, but if I'm kicking up any type of particles or dust, or putting it up, or stacking it I have to use something.
I've tried the masks and really dislike them, but found a light but quality made bandana much more comfortable. I have to cover my face whenever I mow grass too, so generally am in a bandana 4 or 5 days a week and have found out there is a difference in cloth quality with them.
Anyway, I tie it up snug over my nose then tuck the neck end inside my shirt.
Also, this may help (sorry, it's gross) but as soon as possible after you are done working around the hay/hay dust, even with a mask or bandana on,
Go blow your nose! Blow it alot.... and if it's really been dusty try swabbing out your nose with a damp tissue.
By doing the above, and taking a Claratin (over the counter non-drowsy allergy medicine) each day, I have reduced my sinus infections to zero!