We have harvested our own hay for a few years, and have sold it for three years in a row. Let me say...hay is stressful. You are so dependant on the weather, and it's a tricky thing to harvest horse-quality hay properly. Not to mention that horse owners are generally very picky about their hay, which only adds to the stress, since so many factors are beyond your control.
I've also been burned several times by people ordering large amounts (upwards of 250+ square bales) and then not showing up to get it.

We have our own horses and feed them our own hay, so we've never lost $$, but it's still aggravating to have buyers ditch you for the guy down the road who sells for 10 cents a bale cheaper, especially when you've slaved and stressed over each bale.
Harvesting hay is HARD work, unless you have a lot of expensive and fancy equipment, which cuts down on your profit margins for several years. If you have to pay help, that cuts down on your profits as well.
Planting good quality hay is not cheap either. I'm sure you have the equipment at your disposal, but I'd look into how much $$ per acre you're looking to invest to get started.
We are seriously considering not selling hay to anyone next year, with the exception of two people who proved to be reliable and easy to deal with. Providing enough hay for our 5 horses for the long winter is enough work, and pays for the equipment that we need to accomplish that. We come out ahead, even if we don't sell it to anyone.
Add to that the fact that we have more pasture and so don't have to feed hay year round, it's a good situation to be in.
If I were you, I'd increase your pasture, plant enough hay to do your horses' needs, and stay simple. You will end up ahead, IMO.