That's a cute idea!! Just make sure that the hole is large enough for him to fit through! I know some cichlids can be small.
I bought most of mine locally. Some people here can share USA sites. But I bought marimo moss off ebay from "AquaticMagic".
I'd check your local classifieds and craigslist for some java moss. I got some thrown in for free with other plants I bought from someone on craigslist, but it's usually dirt cheap cause it grows like a weed in the right conditions!
I'm thinking of rolling some plastic mesh into a cylinder, and planting moss through it. The moss should grow through the mesh and completely hide it after a while. I might suction cup it to the tank side to keep it off the ground, to make it less likely that my shrimp will hide in it and become a snack.