I saw this too and loved the idea--I think I'm going to build one in the barn though so there's not the soggy hay problem in the catch troughs. Maybe just with one pallet at an angle with the wall.
Some adjustments have been made to make the pallet feeder work better.
1. I added a pallet board to each of the 4 squares of open space where hay falls out. There are two on each side.
2. I've added a catch trough for the hay that does fall
3. I raised the whole feeder off the ground because the little crazy pregnant goat in the picture got stuck under it
4. I've secured the entire feeder against a wall so it can't move when the same goat gets stuck again.
Just wanted to post a photo of the pallet hay feeder I built into a corner of my barn. I found a pallet with really nice slats so no adjustments were needed. I can load it up with hay, and the waste is minimal. I think the next step is to build a trough at the bottom to catch the fines (unless I just want to continue incorporating them into the bedding, which I may do). But this was very easy to build, and free!