I've just built some slate caves, both free-standing and around a couple of plastic boxes.
I stuck 2 plastic boxes together to make an L shape and cut holes in the sides. (Make sure the plastic is not going to leach chemicals into the water though - mine were microwave safe which means that they do not release toxins).
I stuck them together with aquarium silicone.
As they were going in the corner of the tank, I built up walls of slate along the inside of the L and stuck them together with silicone. Depending on the fish you have, some will like to dig about and better safe than sorry.
The top of the wall rises above the level of the boxes, and the flat tops of the boxes make a gravelled and planted terrace; the gravel is held back by stones on the top of the wall.
For the other cave I built walls of slate and just used large flat pieces of slate to bridge the gap between the two. Again stuck together with silicone.
One tip - I found a bag of slate 'padstones' at B&Q which are lumps of slate a few inches in size rather than chippings. There were also a few large flat stones in here too which are perfect for roofs. Make sure you clean them and boil them just in case.