i have a fleece pouch at the very top of my cage, and my dad's old rectangular camera bag at the bottom (it's a long story, lol).
they'll play in and around the pouch, but they always sleep in the camera bag.
my dad always fusses about how the lowe-pro camera bag cost him $100, but now it's a dingy old nest box
in the past, they've made a small cardboard box their nest. they shredded cardboard and stole one of my bracelets and a shoelace to make their bed nice and comfy. i sealed the top of the box shut because i wanted them to sleep in the pouch i spent all that money on, but they chewed a hole through the top of the box and continued to sleep in it! after that, i gave up and let them sleep where they want.