I've been lurking a while, but finally decided to join the board. I've been reading quite a bit, did some research, and finally made a "home-made" cave earlier today.
I bought a small, plain terra cotta pot from Wal-mart a while back. I broke it into smaller pieces as it was a little large for what I wanted. You can put the whole pot in the tank if you would like, turning it on its side to make a cave. But I broke it up and sanded the rough edges of the pieces I wanted to keep.
I then took some landscaping rocks/pebbles, tested them with white vinegar (if they sizzle, probably not a good idea to use them), washed them and then boiled them just to make sure they were clean.
I then used some aquarium safe glue and piled them together while also using a part of the terra cotta pot and made my own cave. There are two sections that are tunnel-like. I made this one more in mind for my cory cats, but the larger section formed by the terra cotta could definitely be used by my betta.
In the link is an image of it. I'm letting it sit at least 24 hours to make sure it is thoroughly dry. I also read recently that it's not a good idea to plant Java Ferns in the substrate (is this true, anyone?). So I think I'm going to tie the ferns I have to this cave once I submerge it.