I can answer some of that... on pallets is the best way to go, keeps them dry of course, and will also make it easier to get them out when we have several feet of snow
If you have the room, it might be better not to stack them, again easier to access, and also safer, since they can roll/fall off when stacked. If they are not covered, they should be stored on their side (round side on the pallet), and they should keep fine that way. If you tarp them, you could leave them upright (flat side down). What will you be moving them with?
I'm not sure about tarping, it depends how tightly you're tarping of course, but you could trap moisture that way, and tarps can be hard to keep from blowing away. The makeshift roof sounds neat, but might be a pain to get on and off as you need to take bales out