Hello, If you look at the Griffiths Valuation, printed in 1857, records freely available on askaboutireland.ie the McHale surname is listed in the Sligo Parishes of Castleconor / Kilglass / Kilmoremoy and Kilmacteige, predominately in Castleconor. So would suggest that you search those parishes.
I've been studying Kilglass parish myself and noticed the surname McHale and Hale appearing in the newly released parish records freely available online at the National Library of Ireland. registers.nli.ie
There is a birth for a James Hale (no Mc) on 11th March 1830 to a Thomas Hale and Mary McDonald in the Townland of Ballyogan, and previously (didn't note date) a Betty to a Thomas McHale and Sally Burke also Ballyogan townland
There is a marriage of a Patrick McHale to a Mary Carrol? 22 July 1846 at Enniscrone (would be female parish) which in the same area of Sligo, possible relative of your James.
There are not many parish records on the NLI site for Castleconor and I think they are prior to the 1830's, but certainly worth a look.
The 1833 Tithe Applotment Books for Sligo online at National Archives Ireland, nationalarchives.ie, show two Michael McHale entries in Castleconor Parish.
Hope this gives you a start. Regards Marian