Good luck, taking on youngsters is very rewarding, but it's a tough road!
I have been riding, training and working with horses in general for a number of years, with multiple horses. And only just took the plunge into purchasing my first weanling, with a LOT of help from my coaches, friends with their own studs and so on. I certainly wouldn't have done it without this fantatsic support network.
Feed for babies can be difficult, as tempting as it is to get them fat and shiny, with ample rib cover, avoid it! They are much better to be a little on the lean side, than too fat. Extra weight puts extra strain on their soft and growing joints and bones, which can lead to any number of soundness problems later in life.
Keep going with the hay, and look into the nutritional requirements of weanlings. I have chosen to go with a pre-made, extruded option designed particularly for youngsters and broodmares, and have had great success with this, plus a general mineral/vitamin mix. My now yearling, is extremely soft and shiney, with slight ribs showing, plenty of energy etc.
As for training, as you're doing now, just exposing them to as much as you can, without frying their brains.
Make sure they are exceptional off pressure, with a rope halter you should be able to get them to step forward, back, sideways, drop their head etc from minimal pressure on the halter.
You want them moving away from pressure on their body, yielding quarters, shoulders, picking up feet and so on.
Take them for walks, expose them to every day objects, get them used to being tied, brushed, hosed, wormed, stabled, enclosed in a truck/float.
All of it is just your basic respect ground work. Be creative :)