I've made my own rock cave before. I used landscaping rock that I washed really well, and a bit of broken terra cotta pot. I didn't like how big the terra cotta pot was, so I broke it, sanded the sharp edges and then piled rocks around it. Once I got a design I liked, I glued it all together with aquarium safe silicone.
Things to consider: Use more silicone rather than less. I used just a little bit and it eventually fell apart with rough handling. Also, make sure you let it cure (dry) for at least 24 hours. I really liked mine and may make another for my small tank.
Here's a picture of the one I made. Really it's just gluing a couple together to make a base, then build on top of it. Just be aware it's not something you can make all at once. Wait for some to dry so it will support others.
I also attached some Java Fern to it... really made it look nice!