Good job — your sentence is grammatically correct!
Here are two clear ways to say it:
- The hay baler gathers hay and wraps it into big bales.
- A hay baler gathers the hay and wraps it into big bales.
Shorter, child-friendly version: The hay baler makes big bales of hay.
Why these work (easy words):
- Subject (who?): the hay baler
- Action (what it does?): gathers and wraps (or makes)
- Object (what?): hay — which becomes big bales
So your original sentence is fine. You can change a or the and use wraps or makes depending on how simply you want to say it.