It can be satisfying to make your own hay.
For a couple of horses, it is better financially to buy hay.
You said a humid climate, so often one ends up with rained on, wettish, dampish hay. You won't have any use for that stuff, wasted effort.
Unless you have 10 acres of hay or more, the equipment and more so the time involved to make your own 2-4 acres of hay ends up pretty spendy per bale.
that doesn't mean you shouldn't go ahead and make your own, but dollar wise, you can buy more good hay bales than you can easily make dollar wise.
There are ways to harvest loose hay and not invest much in equipment, but this ends up manually harvesting it which is a ton of good hard work, certainly an option but that is not for everyone for sure.

basically swing a scythe and swing a rake and pitch a fork.....
If you have a nice big field 10 acres or more and farmers nearby you might be able to rent the field out for hay; they will crop share and leave you between 1/4 and 1/2 of the crop (bales).
But to make hay you come and cut, you come and rake, you might come and rake again, you come and bale, then you take the bales home.
So for small fields or to get so,eone from far away, it ends up not worthwhile to the farmer, too much driving around for not much gain.
Paul