Although you can just stick your bunny's hay anywhere in the cage, the use of a hay rack of some sort will keep the cage looking tidier and result in less hay spoilage. Hay on the floor often collects debris. They will often pull hay out of a rack, but even so much of the hay stays clean longer, and of course that also gives them an extra entertainment.
There are special hay racks and whatnot sold by various pet and livestock supply companies. We find, however, the easiest thing is a Closet Maid packet rack. These are available at Home Depot and most likely online for just a few dollars. If you have bunnies that like to pull the whole rack down and flip it over, you can secure it in place with a plastic zip tie or metal snap.