Ideally you would want your insulation tight against your hive as to remove any draft space, but straw tends to hold moisture and attracts mice. you could purchase a bee cozy winter wrap or use foam board insulation cut to fit your hive tight and tape or bungee cord it to the outside of the hive. Just make sure to leave the entrance open. You can certainly use straw or hay bales to make a wind brake around the hive just make sure you leave enough room to walk around and make inspections or clean up snow if it gets deep. Good luck.