You would have to find a"dry" cave,many drip lots of water in the rainy season.They are damp and chilly.Stuff would mold and rot.There are some dry shelters but they usually have openings that are pretty big,you'd still need a wind block and you would want to be south facing.There are some luxury cave houses here,The Beckham Creek Cave House,that was featured on Lifestyles of the Rich and Famous.It even leaks,I know,I've been in it.
And other things live in caves,bats,salamanders and maybe even a bear.And when it gets hot,snakes like to cool off in them.
A dry bluff shelter facing south,with a spring near would be a good choice.
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I am the dust that dances in the light. - Rumi