I used metal fencing. Yes, just like the stuff for deer or rabbit. I thought long and hard about it, there are no sharp spots for the horse to hurt themselves. I don't see how it's any different, safety and functionality-wise, than the 'slow feeder' grate they sell. Other than the fact that its lighter but that's where the 2x4 wood frame adds enough weight to keep it down.
I like it because A) it was free. B) I bet I could fit at least 40 lbs of hay in it. C) it puts the horse in a natural feeding position. D) Horses can't get a tooth caught on it like they can with thin netting. E) There is zero waste. Nothing falls out into the ground. And F) it was still free!
I have made the nets out of baling twine too, DHW! I'm awful at it! I always make like a long tube, lol, not so much a bag. Like a hay hot dog, haha.