What I do is cut 1.5" PVC into a bunch of 6" sections and drop them into a pot of boiling water. After a minute or two the PVC softens up quite nicely. Pull them out with a pair of pliers or tongs or something, stick one end in a vice and crank it down flat, and wait for it to cool. When it cools it will retain its shape, and you end up with something in a similar shape to the clay caves.
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