Probably a really stupid question but I have to ask..

Ahh scary! Ill just store it away from the house. Kind of nerve wracking whether its beside the house or not because 90% of my land is forest. The last bale that went moldy was really warm inside. Are square bales any less likely to combust? I don't stock much at a time, I only have one little 38 inch pony.

I use square bales (the small ones) and they can heat up and mold just as quick, if not quicker, than round bales.

You can buy a hay probe that measures moisture and temperature of a bale. They are expensive (about $200 last time I looked) but reassuring. I believe at 150 degrees you pull the hay out of the barn, once it hits about 180 degrees it cooks off any moisture, flashes up to over 300 degrees then you get spontaneous combustion. The farmers will tell you if it starts to smell like caramel it's to hot. You can use the moisture % when your hay shopping much over 20 odd % when newly baled (moisture content spikes for a day or two after baling, then drops as the hay cures) and it is likely to mold, once cured it should be under 18%. Round bales are harder to combust because you can't pack them as tight in the loft.
I also salt my hay as I stack it, my grandfather always did and it can't hurt.

I only get one bale at a time, MAYBE two at a time in the future and I don't keep it in a loft. If its not in the barn its in a 15 x 15 tarped run in. If its just one bale can it still combust or is that more with large amounts that are stacked?

Unlikely that one kept with air around would combust - nothing to keep the heat in as compared to a bale in the middle of a tight stack. It will likely just get warm then mold if it has too high a moisture content, annoying but better than a fire. Throwing salt on the top of the bales does seem to draw moisture up and out of the cores of rounds if you stack on end.

This fall we got hay delivered right after it was baled. Cut on Friday, bailed on Saturday and delivered on Sunday. I went to do chores and there were 3 bales I couldn't move for the life of me, had to have been well over 100lbs. These were supposed to be 70lb squares, so obviously wet. They were sitting by themselves as they were to heavy to stack.

Get them outside and cut open and the center was so hot you couldn't touch it. Luckily the bo who is very petite stacked the hay so we knew those were the only 3 that were wet otherwise she wouldn't have been able to lift them.

Scary thinking what would have happened had they stayed in there over night. But they should have never bailed the hay so soon after cutting, there was no reason for that. And if I was the one paying the bill I would have told them to take their hay back, ran into too many moldy ones.

Oh yikes!! That's scary. The guy that just dropped off my bale said it only will combust if its wet inside and that his wasnt and not to worry about keeping it next to the house?

Properly cured hay will not spontaneously combust. If you buy from a hay dealer directly from his/her stacked and stored square (or stored round) bales, you can guarantee the curing. A hay dealer isn't going to burn down his expensive storage building.
If you want to know what a bale that is cured improperly feels like, mow your lawn and rake some of the grass into a thick pile. Check on it 12 hours later. You will feel how hot grass gets as it begins to decompose. THIS is what causes hay fires, not moldy hay. Moldy hay occurs when there is a portion of the bale that wasn't completely dry when it was baled, but not enough to heat up the entire bale. Usually it's only a couple of flakes, and they will have white dust on them. Your horse won't touch moldy hay, but other livestock can consume it. I have bought rained-on hay before, and I just open the bales and lay out the flakes to dry, turning them every day until dry, then feed that first.

Yes it has to be wet in order for it to get hot in the middle. When they are baled wet the center doesn't dry and it will keep getting hotter until it combusts. This is less of a concern in square bales and a greater risk with very large rounds that are not dried properly. Normally farmers let their hay dry properly. We don't keep hay outside, we have the hay loft above the barn.