I've made a few caves from polymer clay for my apistogramma - a dwarf cichlid - and was asked to share how I did it. Sorry if this isn't the most professional "how to" but you should get the idea :P
Step 1: What You Need
1. Fish that need a cave - otherwise this instructable is kinda useless to you
2. Polymer Clay. You want the stuff you bake in the oven, not the air dry type. There are a few different brands available. I am using Kato brand because its what I have on hand, however I would suggest Sculpey brand as its cheaper and easier to find.
4. Rolling pin. A bottle of wine works well if you don't have a rolling pin.
Step 2: Make a Tinfoil Hat
Make a hat from tinfoil or, as in my case, a tinfoil tiara. I'm classy like that.
Step 3: Make Your Cave Mold
Take some tinfoil and mush it into the shape and size you want your cave. It doesn't have to be perfect, fish aren't judgmental.
Step 4: Roll Out Your Clay
Using your chosen rolling implement, take a chunk of clay and roll it out. How much clay you use depends on how large the cave is and how thick you want the cave walls to be. I tend to make mine pretty thin.
I don't make bottoms for my caves because it makes it difficult to remove the tinfoil after baking. If you want to make a bottom I suggest you make and bake the top first, remove the tinfoil, roll out more clay,add the bottom piece and rebake.
Step 5: Cover Your Cave Mold
Take your clay and cover the tinfoil mold. Tinfoil and clay are very forgiving to work with so don't be afraid to slightly re-shape the tinfoil as you cover it.
Step 6: Cut a Hole
Your fish needs a way to get in! Using a razor or knife cut out a hole in the clay. Don't cut yourself - that would be an embarrassing emergency room visit.
Step 7: Bake!
Check your clay packaging for baking instructions - I usually bake at 300F for 15-20 minutes. Your house will fill with the enticing aroma of melting plastic. Yum!
Step 8: Remove Tinfoil
After the cave is done baking give it some time to cool - maybe 10 - 15 minutes - and then pull out the tinfoil. Make another hat or throw it away, up to you.
Step 9: DONE!!
And thats it! You can use sandpaper to smooth out the edges of the hole if you think they are too rough. Give this a good rinse before you put it in your tank but like other aquarium decor don't use soap.
On a side note I have used colored clay for some caves but DO NOT use paint.