It's true--pigs love mud. Pigs have a hard time regulating their temperatures, and when faced with a high heat, a mud wallow looks just like a swimming pool to your piggies. To build a mud wallow, section off one part of the pen. You can build a low lying fence or trough to keep the mud in just one section. Till up the earth where your mud bath will be and then add water to the area once or twice a day (perhaps more if you live in a particularly hot climate).