I'm not good with heater brands and prices, though any submersible, adjustable heater between 15-25 watts should be alright. And no, they shouldn't be all that bug or bulky looking. Check around at different places online like Wal-mart(like truthequalslies said), Petsmart, Petco, and so on. Also, don't forget a thermometer to monitor the temp and make sure it stays stable and where you want it.
Yes, those clay pots you find at craft stores make GREAT caves and plastic drinking cups make nice temp caves as well, not to mention both are very cheap. ;) Also, don't forget the silk plants! A couple should do. You can run them over a tissue and if they tear the tissue, then they're too sharp.
In the meantime, keep your guy in the darkest, warmest, quiestest part of the dorm, change his water out daily, and keep offering him pellets until he accepts them. :)