Sounds like they may be mating, or it could be a sign of aggression, sometimes it's hard to tell with mbuna.

I'd lean towards mating as there is nest building going on. The funny dance you see is a typical breeding/aggression display, it's pretty shocking the first time you see it.
As for sexing, electric yellows (
Labidochromis caeruleus) are one of the harder species to sex. The only reliable ways are to observe them spawning, or to
vent them. They are harem breeders, where one male will mate with as many females as possible, so you should be keeping them in larger groups.
L.caeruleus is a somewhat shy species and are best kept in groups of 5 or more, fortunately they are one of the few mbuna species that can be kept with multiple males.
What size tank do you have them in, and what are their current tank mates?
Because of their aggression levels and need for territory, mbuna (rock-dwelling cichlids of Lake Malawi, Africa) should be kept in at least a 4ft tank and only with other mbuna species with the expection of some catfish, notably the
Synodontis species of Lake Tanganikya, and bn plecs.
I'd highly recommend reading some of the articles
here.
Oh, and before some else says it, in the world of forums, typing in all caps is considered yelling and many people find it rude.