I use shade mesh (cut longer than the length of the tray but equal to the tray width) wrapped and stapled to a piece of 70 x 35mm treated pine cut the width of the tray, one for the front one for the back, with a self tapper eye bolt screwed into the end grain of each end of the timber. I have short pieces of water ski rope (easily spliced) in each eye bolt.
It rolls up reasonably neatly if you can be bothered or good enough if you are lazy.
You can walk down one side of the ute using the pine to spread the shade mesh even in the wind and because of the weight of the timber it stays put until you tie it off.
I also have a rope box bolted under the tray with a good assortment of ropes which get used every day.
EDIT: Ex Queenslander, learnt the lesson up there and I just kept doing it even though very few down here do (Melbourne)